SmartModels™ Utilities: Bootstrap

Everyone in fixed-income has access to certain yield curve analytics. Whether part of a fixed-income pricing system, bond math engine, or a “garage project” spreadsheet, they’re ubiquitous. Our experience is these are either more work or too simple for what's handy day-to-day.

Taking 30/360 semi-annual par yields as input, SmartModels™ Utilities Bootstrap function gets you to zero, forward, or forward par rates with a click of a button:

  1. Go to SmartModels™ Utilities and select Bootstrap from the dropdown.
  2. Enter a settlement date, input curve, and output dates. 
  3. Select your output rate type and Linear or Cubic Spline interpolation methods.
  4. Click the Bootstrap button. 

BENEFITS

  • Speed – Delivers just the analysis you need in a quick, easy-to-use interface.
  • Accuracy – These yield curve analytics are industry standard and thoroughly tested; no spreadsheet formulas to audit.
  • Speed, again - Input ranges are set and stored in the interface until the user changes it, saving additional time when data changes and recalculation is necessary.