course bg
EduPristine>Blog>FRM Tutorial: Boot Strap Method to Calculate Spot Rate Curve

FRM Tutorial: Boot Strap Method to Calculate Spot Rate Curve

March 31, 2010

Boot Strap method is used to calculate the spot rate curve, when the prices of the bonds of different maturity and the coupon payment associated with the bond is available. There is an excel sheet attached which describes the process of calculating 4 spot rates when prices of 4 bonds of different maturity are available.

#FRM Boot Strap Method

In the bootstrapping technique one repetitively applies a no-arbitrage implied forward rate equation to yields on the estimated Treasury par yield curve.

To guarantee your success at passing the FRM exam at one go, follow the link to FRM Concept Checkers for many more concepts!

About Author

avatar EduPristine

Trusted by Fortune 500 Companies and 10,000 Students from 40+ countries across the globe, it is one of the leading International Training providers for Finance Certifications like FRM®, CFA®, PRM®, Business Analytics, HR Analytics, Financial Modeling, and Operational Risk Modeling. EduPristine has conducted more than 500,000 man-hours of quality training in finance.


Interested in this topic?

Our counsellors will get in touch with you with more information about this topic.

* Mandatory Field

Post ID = 4345