Fitting a Yield Curve

Overview


The yield curve is a critical component of most fixed income anlaysis. However, the reality is that the yield curve must be constructed from the prices of fixed income securities on the market.

This example demonstrates the basic steps required to build a yield curve.

Video Demos


Video Demo
A full copy of the desktop used in this example can be found here:



full desktop

First Step


The first step is to obtain data that will be used to interpolate a curve