Dating curves coupon

So you obtain other result for the zc rate of the 3rd year.

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This method is based on the assumption that the theoretical price of a bond is equal to the sum of the cash flows discounted at the zero-coupon rate of each flow.

To illustrate this, let's take the example of a bond with a remaining lifetime of five years and an annual coupon of 3.5 %.

The technique used to achieve this is called bootstrapping, a term which describes a self-contained process that is supposed to proceed without external input.But building a yield curve from “classic” coupon bonds would create a curve which suffers from a number of inconsistencies.Thus, for example, two bonds with the same maturity but a very different duration, will not have the same yield.Using a series of zero-coupon rates, the determination of which we will see later, we can determine the theoretical price of the bond : Based on this concept, we can build a zero-coupon curve starting from a set of bonds with different maturities.For the construction of our zero-coupon curve, we will take for example the following list of securities as a starting point : The first securities (A, B and C) actually are already zero coupons, since they generate no cash flows before maturity.

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