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Subject: Spot yield curves?
Date: Thu, 7 Feb 2008 19:31:01 +0000 (UTC)
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Hi,

Does anyone know an easy way to convert coupon yield 
curves into spot yield curves? For example, I have a 
history of treasury coupon yield curve information as 
follows.

Date        1m  3m  6m  1y  2y  3y   5y ... 30y
02/06/08   2.08 2.26 2.22 2.21 2.05 2.05 ...4.36
02/05/08   2.07 2.25 2.23 2.22 2.06 2.06 ...4.36
...
01/01/00   5.14 5.32 5.73 5.97 6.26 6.29 ...6.48

How to convert them into spot rates?

Thanks a lot

Stephen