It is usually steps 3 to 6, the iterative process of the model that is a cause of confusion among students when constructing the bootstrapping model in EXCEL. In general the bootstrapping calculation follows the process depicted below: Figure 1: Zero curve & Forward rates derivation process In this post we will walk you through the process of building a zero curve bootstrapping model in EXCEL. Understanding how to build the bootstrapping model in EXCEL is therefore an essential corner stone to building more complex models that depend on its results. ![]() all make use of the zero rates and/or forward rates derived from the bootstrapping process. Interest rate and cross currency swaps & interest rate options pricing & VaR models, revolving credit facilities & term B loans valuation models, Black Derman Toy interest rate models, etc. Deriving zero rates and forward rates using the bootstrapping process is a standard first step for many valuation, pricing and risk models.
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