The wide gap between maturities poses problems in using the on-the-run issues, especially after five years. Some dealers and vendors use selected off-the-run Treasury issues to mitigate this problem. Treasury issues of 20-year and 25-year, are normally used for this purpose. The linear interpolation method is used to fill the gaps for the other maturities. Then, the bootstrapping method is used to construct the theoretical spot rate curve.

Posted Date: 9/10/2012 3:31:41 AM | Location : United States

Ask an Expert

Related Discussions:- On-the-run treasury issues and selected off-the-run treasury, Assignment Help, Ask Question on On-the-run treasury issues and selected off-the-run treasury, Get Answer, Expert's Help, On-the-run treasury issues and selected off-the-run treasury Discussions

Write discussion on On-the-run treasury issues and selected off-the-run treasury
Your posts are moderated

Write your message here..

Related Questions

Explain difference among economic profit & producer surplus, What is the di... What is the difference between economic profit and producer surplus? When economic profit is the difference among total revenue and total cost, producer surplus is the variatio

On-the-run treasury issues and selected off-the-run treasury, The wid... The wide gap between maturities poses problems in using the on-the-run issues, especially after five years. Some dealers and vendors use selected off-the-run Trea

Working of securities and exchange commission, Working of SEC The SEC s... Working of SEC The SEC supervises the main members in the securities world, including securities brokers and dealers, securities exchanges, investment advisors, and mutual fund

What is financial risk, What is Financial risk Financial risk is affe... What is Financial risk Financial risk is affected by mixture of long-term financing or capital structure, of firm. Firms with high levels of long-term debt in proportion to t

Find out the price of the swap from corporation's viewpoint, A company ente... A company enters into a five-year interest rate swap along with a swap bank where it  agrees to pay the swap bank a fixed-rate of 9.75 percent yearly on a notional amount of DM15,0

Portfolio Management, Portfolio Project The purpose of this project is to h... Portfolio Project The purpose of this project is to help you to gain an understanding of how the stock market works and of the relationship between theory and practice. You are gi

Estimating cash flows in valuation process, The first step in valuati... The first step in valuation process is to estimate the cash flows that are expected to be received in the future. In debt securities, there are two types of possi

Calculate the thai bhat and risk systematic, 1) Is foreign exchange risk sy... 1) Is foreign exchange risk systematic? What are the implications of your answer regarding corporate hedging policy with respect to foreign exchange risk? In your answers make sure

Differences in working capital for different industries, Differences in wor... Differences in working capital for different industries   Manufacturing Retail Service Inventories H

Trend analysis, Do you guys provide Trend Analysis assignment help? I need ... Do you guys provide Trend Analysis assignment help? I need writing a report on Trend Analysis and it is about 2000 words. Let me know. I need to buy your solution.