When all Treasury issues are used to construct the theoretical spot rate curve, what methodology is used

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When all Treasury issues are used to construct the theoretical spot rate curve, what methodology is used to construct the curve?

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Bond Markets Analysis and Strategies

ISBN: 978-0133796773

9th edition

Authors: Frank J.Fabozzi

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Question Posted: Aug 22, 2015 07:27 AM

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When all Treasury issues are used to construct the theoretical spot rate curve, what methodology is used

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The extrapolation method can be used to form the ontherun or par coupon curve from ontherun observed Treasury yields for each ontherun coupon issue th...View the full answer

Bond Markets Analysis and Strategies

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