1. Cash Flow Engine Reference Guide
  2. Rate Conversion
  3. Rate Conversion Algorithms
  4. Conversion from Yield-to-Maturity to Zero-Coupon Yield

11.3.1 Conversion from Yield-to-Maturity to Zero-Coupon Yield

Based on Equation 9-3 and Equation 9-4, the system first calculates the values:

c(Ti)

AI(Ti)

After this the system bootstraps the yield curve using the BFGS algorithm to solve Equation 9-1 nd Equation 9-2.

Note:

See, for instance, Press W., Flannery, Teukolsky, and Vetterling. Numerical Recipes in C: The Art of Scientific Computing, Cambridge University Press, Second Edition, 1992.