[求助] 急！！extract the treasury .zero rate curve

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已知 semi annual compounded yield to maturity

Treasury bills:  yield to maturity (ytm)

1month        1.2%

3month      1.65%

6month      2.1%

1year     2.25%

Treasury notes  ytm

2year               2.55%

3year              2.8%

5year             3%

要求区间 t=(0,1,1.5...4.5,5.0)的US treasury zero rate curve和forward rate curve.

用matlab怎么求解？

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关键词：Treasury extract curve extra xtra Rate extract zero Treasury curve

Figure out the zero curve by bootstrap method and forward rate curve by formula, and coding in matlab is pretty straightforward, even though you have to interpolate some of the rates, which you can get either by linear or spline interpolation.

Thanks! bootstrap method 不是要知道bond price coupon rate才能做的吗？还是用Linear interpolation?

我知道t-bill的ytm是zero rate,但是t-note的ytm和zero rate有什么联系？