Treasury coupon securities and bills, Financial Management

Many practitioners feel that instead of using only on-the-run issues, all treasury coupon securities and bills are to be used for constructing the theoretical spot rate curve. Using only on-the-run issues, even if we include a few off-the-run issues, fails to recognize the information contained in Treasury prices that are not included in the analysis. When all the coupon securities and bills are used, there may be more than one yield for each maturity. Therefore, bootstrapping methodology cannot be used for constructing the curve, and a different methodology is to be used.

Posted Date: 9/10/2012 3:32:29 AM | Location : United States







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