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smarttrader
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Posts: 78
Joined: February 21st, 2007, 9:39 am

Computing zero rates

August 16th, 2007, 9:52 am

Hi all,Can anybody has ny idea about the following formula for computing zero rates? tZt = {(1+rt)/(1-rt.∑DFi)}^t/360 -1 i=360rt = spot swap rate for period tDFi = Discount Factor from 360 days to t days (t>360)Zt = Zero rate for the period t (t>360)Plz reply.
 
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smarttrader
Topic Author
Posts: 78
Joined: February 21st, 2007, 9:39 am

Computing zero rates

August 16th, 2007, 12:40 pm

ny body please...
 
User avatar
smarttrader
Topic Author
Posts: 78
Joined: February 21st, 2007, 9:39 am

Computing zero rates

August 16th, 2007, 12:40 pm

ny body please...
 
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cemil
Posts: 221
Joined: September 16th, 2005, 7:44 am

Computing zero rates

August 16th, 2007, 1:13 pm

this formula is the bootstrapping formula to built the yild curve
 
User avatar
smarttrader
Topic Author
Posts: 78
Joined: February 21st, 2007, 9:39 am

Computing zero rates

August 16th, 2007, 2:16 pm

Hi cemil,thnx 4 ur reply. can u tell me some referrences where I can find it in more details?I've little doubt on the formula which is being used.Thnx once again.
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