Fixed-Income-Project
This project including:
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Estimate spot curve using linear interpolation. Take the Coupon rates of bonds whose price are very close to par value as initial spot rate points.
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Estimate spot curve using cubic interpolation. Take the Coupon rates of bonds whose price are very close to par value as initial spot rate points.
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Find mispriced bonds using derived spot curve. -Discount bonds using spot curve and compare with market prices.
All data used are from Bloomberg.