Bootstrap annual spot rates from annual coupon-bond yields

Bootstraps annual effective zero-coupon yields from par annual coupon-bearing bond yields of the same maturities.

Usage

z_from_coupon_annual(maturity, coupon_yield, par = 1000)

Arguments

maturity

Integer vector of maturities in years, in increasing order.

coupon_yield

Numeric vector of annual coupon yields.

par

Par value of each bond.

Value

Numeric vector of annual effective spot rates.

Examples

maturity <- 1:4
coupon_yield <- c(0.02, 0.04, 0.06, 0.08)
z_from_coupon_annual(maturity, coupon_yield)
#> [1] 0.02000000 0.04040808 0.06169260 0.08447397