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- W1977881282 abstract "AbstractObserve crabs in the sand of our beaches: they move forward, backward and then forward again. Before the crisis, the standard bootstrap of interest rate curves was a ‘Forward’-looking iterative algorithm where only information from previous knots was used to find discounts at subsequent dates.In this note we describe a new bootstrapping technique that involves various ‘Backward’ steps, which are reminiscent of a crab’s steps: this new methodology coherently considers now standard dual-curve framework. Two other major results emerge from the bootstrap methodology described: (i) discounts are independent from the chosen interpolation rule for all practical purposes; and (ii) convexity adjustments to Short-Term Interest Rate futures can be dealt with using a methodology in line with market practice." @default.
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- W1977881282 date "2014-11-03" @default.
- W1977881282 modified "2023-09-26" @default.
- W1977881282 title "A Note on Dual-Curve Construction: Mr. Crab’s Bootstrap" @default.
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- W1977881282 doi "https://doi.org/10.1080/1350486x.2014.959665" @default.
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