April 2019
Intermediate to advanced
426 pages
11h 13m
English
Content preview from Mastering Python for Finance - Second Edition
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Bootstrapping a yield curve
Short-term spot rates can be derived directly from various short-term securities, such as zero-coupon bonds, T-bills, notes, and eurodollar deposits. However, longer-term spot rates are typically derived from the prices of long-term bonds through a bootstrapping process, taking into account the spot rates of maturities that correspond to the coupon payment date. After obtaining short-term and long-term spot rates, the yield curve can then be constructed.
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I'm always learning. So when I got on to O'Reilly, I was like a kid in a candy store. There are playlists. There are answers. There's on-demand training. It's worth its weight in gold, in terms of what it allows me to do.