Ryan O’Connell, CFA, FRM discusses how to bootstrap spot rates from the par rate curve.
CORRECTION: @4:23 we should be using the 2 year spot rate of 4.04%, not the 2 year par rate of 4%.
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Chapters
0:00 – Par Curve Definition
1:11 – Bootstrap Spot Rates From Par Rates
6:06 – Bootstrapping Example in Excel
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