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Programs to generate a term structure of spot interest rates and also calculate historical yield volatilities.

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Yield Curve Models

Yield curve is also known as the term structure of interest rates. It represents spot interest rates for various maturities. Another useful name is the "term structure of spot rates." The latter is probably the most clear.

To be added: Par-Yield-Treasury (bootstrap + interpolation technique), Nelson-Siegel Model (use this for Ho-Lee or simple BDT), forward rates to ZCBs, swap rates to ZCB bootstrapping.

Interpolation is an assumption that is always required because the scarity of products at various maturities.

Data

See the folder labeled "Data." The following data is included:

onTheRunTreasuries.csv ~ Par-yield Treasury data updated regularly

swapRates.csv ~ Swap rate data provided by Chatham Financial

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Programs to generate a term structure of spot interest rates and also calculate historical yield volatilities.

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