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bootstrapping

  1. W

    Bootstrapping the yield curve

    Hey everyone, I found this question in an old item set and wanted to know if anyone could help explain how to bootstrap the curve in excel. I have my workings in an excel file for anyone that’s interested. But I am mostly struggling with questions a and c in this item set: You observe the...
  2. Nicole Seaman

    P1.T2.21.6 Bootstrapping and antithetic/control variates

    Learning objectives: Explain the use of antithetic and control variates in reducing Monte Carlo sampling error. Describe the bootstrapping method and its advantage over Monte Carlo simulation. Describe pseudo-random number generation. Describe situations where the bootstrapping method is...
  3. L

    Help [Bootstrapping]

    I am so sorry to bother you but I really need help. Note: I am new to bonds, interest rates, forward rates .. etc. In many examples ( for instance in Hull's book) I see something like this: TTM Coupon Price 0.25 0 97.5 0.50 0 94.9 1.00 0...
  4. Nicole Seaman

    P1.T2.602. Bootstrapping (Brooks)

    Learning objectives: Describe the bootstrapping method and its advantage over Monte Carlo simulation. Describe the pseudo-random number generation method and how a good simulation design alleviates the effects the choice of the seed has on the properties of the generated series. Describe...
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