Constructing the theoretical spot rate curve for treasuries, Financial Management

The following treasury issues can be included for the construction of the curve:

  • On-the-run treasury issues.

  • On-the-run treasury issues and selected off-the-run treasury issues.

  • All treasury coupon securities and bills.

  • Treasury coupon strips.

After the selection of securities for construction of the theoretical spot rate curve, it is necessary to select the methodology for constructing the curve. The security included decides the methodology for constructing the curve. When on-the-run treasury issues with or without selected off-the-run treasury issues are used, bootstrapping methodology is used for constructing the curve. Whereas, if all the treasury coupon securities and bills are used then an elaborate statistical technique is used.

Posted Date: 9/10/2012 3:30:02 AM | Location : United States







Related Discussions:- Constructing the theoretical spot rate curve for treasuries, Assignment Help, Ask Question on Constructing the theoretical spot rate curve for treasuries, Get Answer, Expert's Help, Constructing the theoretical spot rate curve for treasuries Discussions

Write discussion on Constructing the theoretical spot rate curve for treasuries
Your posts are moderated
Related Questions
QUESTION (a) Describe briefly three methods of electronic payment. (b) (i) Explain briefly the term E-Billing. (ii) Outline three advantages of E-Billing. (c) Why is c

Fixed Costs The costs a rigid incurs doing business that do not change in relation to production. Rent, for example, is a fixed cost because it remains constant whether product

Secondary Market The secondary market is also referred to as the stock market where dealings in shares are taken up. It helps the shareholders to find buyers for trading. Thus,

Q. What is the importance of investigation of incidents? 1. Incident investigation is the process of identifying the underlying causes of incidents and implementing steps to pr

List a few types of non-price rationing systems. (a) Queuing. (b) Favored customers. (c) Rationing coupons.

Determine the factors of financial risk by giving example W. T. L. Company's cost of long-term debt two years ago was 8 percent.  This 8 percent was found to represent a 4- per

What is accumulated depreciation? Depreciation is the allocation of an initial cost over time of asset. Whereas the term accumulated depreciation is the total of all the deprec

Problem: (a) Critically analyse interest rate swap and currency swap. (b) Explain why a bank may face credit risk when it enters into offsetting swap contracts. (c) Two

Q. Explain demerits of accept-reject criteria? Demerits of ARR:- (i) It utilizes accounting income rather than cash flows: - The principal short coming of ARR schema is th

Methods of workers participation in management: the various methods of workers participation in management are as follows: 1. Informative participation: it refers to sharing of