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Jul 27

UK Gilt zero-coupon yield curve

Posted by abiao at 09:39 | Code » VBA/Excel | Comments(0) | Reads(13829)
This spreadsheet demonstrates constructing a zero-coupon yield curve from market gilt yields, using the basis spline methodology and approach.
A technical description of the methodology appeared in the book "Capital Market Instruments" by Moorad Choudhry et al (FT Prentice Hall 2001).


http://www.yieldcurve.com/Mktsoftware/excelYC.htm
wiki(yield curve)


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