CalculatingZeroRates Class

Within this class we offer: Evaluation of the zero rate for a given maturity from the corresponding zero bond.

For a list of all members of this type, see CalculatingZeroRates Members.

System.Object
CalculatingZeroRates

public class CalculatingZeroRates

Remarks

Bootstrap method which allows the zero rate for a given maturity to be deduced by an iterative procedure from coupon paying bonds and zero rates of a shorter maturity.
Construction of the zero rate curve from a finite set of zero rates of differing maturities in accordance to the convention that the zero rate curve is linear between the given zero rates and constant outside the range of maturities.

Using this functionality we are able to derive first (i.e. using 1, 2) a set the implied zero rates and then using these rates construct to entire zero rate curve.

Application of the zero Rate

The n-year zero (coupon) rate is the rate of interest earned on an investment which is issued (i.e. starts) today and matures (i.e. ends) in exactly n-years. The zero rate is a convenient short hand way to compare the return from interest based investments without needing to go into details concerning the coupon payment structure and compounding conventions used.

Requirements

Namespace: WebCab.COM.Finance.Bonds

Assembly: WebCab.COM.Bonds (in WebCab.COM.Bonds.dll)

CalculatingZeroRates Class

Remarks

Requirements

See Also