Thread Subject: Spot yield curves?

Subject: Spot yield curves?

From: Stephen

Date: 7 Feb, 2008 19:31:01

Message: 1 of 1

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

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