Bootstrap the Yield Curve

Yield Curve Inputs: Eurodollar Deposits (ED) and Swap Rates, all % pa

YC DATE	1-Y Swap	5-Y Swap
1-m ED	2-Y Swap	7-Y Swap
3-m ED	3-Y Swap	10-Y Swap
6-m ED	4-Y Swap	30-Y Swap

 

       

We apply old-fashioned bootstrapping of yield curve data to generate zero coupon discount factor (ZCDF) values for any projected time out to 30 years. See this methodology description. Since 2008, the dominant method of the financial industry has evolved to a more complex, two-curve, overnight index swap (OIS) technique. Just to be clear, this web page presents the EARLIER method.

 

Forward Time (years)	Forward 6-month Rate	Discount Factor
	(% pa)
0.0
0.5
1.0
2.0
3.0
4.0
5.0
7.0
10
20
30