<t>Dear Nonius and DavidJN,The purpose for that calculation is neither pricing nor relative value analysis. I want to know the modelled NS curve for term structure analysis, market expectations regarding short term interest rates in the future. Of course I do bootstraping for the pricing and RVA. Bu...

<t>Dear All,I am looking for help with the following:I wrote a simple function that discounts all the flows from a given bond using just a bond's payment schedule and 6 parameters of zero coupon curve (nelson siegel form - with a humb). Now I usually "fit" the function's results of series of bonds w...

<t>Dear All,I am looking for help with the following:I wrote a simple function that discounts all the flows from a given bond using just a bond's payment schedule and 6 parameters of zero coupon curve (nelson siegel form - with a humb). Now I usually "fit" the function's results of series of bonds w...