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Keywords: Spot Rate
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Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2012) 20 (3): 325–346.
Published: 31 August 2012
... for valuing a specific corporate bond. Spot rate curves are extracted from the par yield curves by applying bootstrapping method. The spreads between the two spot rate curves are analyzed for 7 years (2005~2012) of corporate bond transaction data. Six results are obtained from various sub-samples classified...
