Stripping Coupons with Linear Programming
نویسندگان
چکیده
منابع مشابه
Stripping Coupons with Linear Programming
When using market prices to t the parameters of models for the price of bonds, the rst step is to strip the market bonds of their coupons. The standard bootstrapping technique of stripping coupons can cause mispricing if there are no bonds that mature for some periods or if there are several bonds that mature at the same time. The authors suggest a new linear programming formulation to strip ou...
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ژورنال
عنوان ژورنال: The Journal of Fixed Income
سال: 2000
ISSN: 1059-8596,2168-8648
DOI: 10.3905/jfi.2000.319271