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
Q. Illustrate the Nature of Financial Management? Less Descriptive as well as More Analytical: - Financial management is less descriptive and more analytical. Because of the

Q. Show Inter-Corporate Deposits? Inter-Corporate Deposits: Inter-corporate lending/borrowing or deposits (ICDs) is a popular short-term investment alternative for companies in

How to use integrated promotional mix to achieve marketing objectives

Automatic Reinvestment Plan Like in the US, UTI India has also started this plan where the amount of dividend and other income accrued on mutual fund investments is automatical

PC Shopping Network may upgrade its modem pool. It last upgraded 2 years ago, when it spent $115 million on equipment with a life of 5 years and a salvage value of $15 million. The

Why would an analyst use the Modified Du Pont system to calculate ROE when ROE may be calculated more simply? Explain. In fact, an analyst wouldn't use the Modified Du Pont eq

Question 1 What are the total cash inflows for project A? Discount rate (%)                      NPV of A (Rs.) 0

Primary Market In an economy, at a given point of time, there will be people/entities called savers the surplus units, whose current income exceeds their current expenditure whi

Describe the benefits of Wealth maximisation criterion Value of an asset must be viewed in terms of the benefits it can produce. Worth of a course of action can similarly be ju

Restatement of investment appraisal In the following solution the tax allowances in relation to the initial outlay on equipment are evaluated separately. Other approaches are a