BootstrapYTMs function
Syntax
BootstrapYTMs(Date, MktInst, Accrual_Conv)Description
Use the BootstrapYTMs function to create a zero-arbitrage implied zero-coupon curve from a yield-to-maturity curve using the integrated discount factor method, based on the Accrual_Conv.
Parameters
| Parameter | Description |
|---|---|
|
Date |
The trading date of the set of market issues. This parameter takes a date value. |
|
MktInst |
The market instrument properties. This parameter takes an array of array of number. The elements in the array specify the following: |
| Elements | Description |
|---|---|
|
1 |
tenor in days |
|
2 |
yield in percent |
|
3 |
price per 100 par |
|
4 |
coupon rate (zero for spot instruments) |
|
5 |
frequency of coupon payments |
|
6 |
unit of measure for coupon frequency, 0 for days, 1 for months, and 2 for years |
|
7 |
coefficient a of a curve interpolating the dataset |
|
8,9,10 |
coefficients b, c, and d of a curve interpolating the dataset |
Returns
An array of array of number. The elements in the array have the same type as the elements in the array for the MktInst parameter.
Related Topics