http://www.mathworks.com/matlabcentral/newsreader/view_thread/163368 Feed for thread: Spot yield curves? en-us &copy;1994-2012 by MathWorks, Inc. webmaster@mathworks.com MATLAB Central Newsreader http://blogs.law.harvard.edu/tech/rss 60 http://www.mathworks.com/images/membrane_icon.gif Thu, 07 Feb 2008 19:31:01 -0500 http://www.mathworks.com/matlabcentral/newsreader/view_thread/163368#413625 Stephen Hi,<br> <br> Does anyone know an easy way to convert coupon yield <br> curves into spot yield curves? For example, I have a <br> history of treasury coupon yield curve information as <br> follows.<br> <br> Date 1m 3m 6m 1y 2y 3y 5y ... 30y<br> 02/06/08 2.08 2.26 2.22 2.21 2.05 2.05 ...4.36<br> 02/05/08 2.07 2.25 2.23 2.22 2.06 2.06 ...4.36<br> ...<br> 01/01/00 5.14 5.32 5.73 5.97 6.26 6.29 ...6.48<br> <br> How to convert them into spot rates?<br> <br> Thanks a lot<br> <br> Stephen