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Matrix Theory Application in the Bootstrapping Method for the Term Structure of Interest Rates

Author

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  • Jozef Glova

    (Technical University of Košice, Faculty of Economics)

Abstract

This article focuses on the term structure of interest rates analysis in the form of a yield curve. The yield curve is a basic instrument for understanding the relationship between the price of money and the maturity of a financial instrument. It has the same relevance for all economic subjects in the form of a basic value determination. The term structure analysis can be used in different economic categories like financial management, portfolio management, actuary science, company valuation, management of firm value, financial risk management, etc. Such as basic method applied in the yield curve construction is the bootstrapping method. Unfortunately, there is great computing severity related to this method. Fortunately, however, the application of matrix theory helps us to solve this issue very well.

Suggested Citation

  • Jozef Glova, 2010. "Matrix Theory Application in the Bootstrapping Method for the Term Structure of Interest Rates," Economic Analysis, Institute of Economic Sciences, vol. 43(1-2), pages 44-49.
    • Handle: RePEc:ibg:eajour:v:43:y:2010:i:1-2:p:44-49
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    File URL: http://www.ien.bg.ac.rs/index.php/en/2010/2010-1-2
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    Citations

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    Cited by:

    1. Tomasz P. Kostyra, 2022. "Yield Curve Modelling with the Nelson-Siegel Method for Poland," Gospodarka Narodowa. The Polish Journal of Economics, Warsaw School of Economics, issue 2, pages 44-56.

    More about this item

    Keywords

    Yield curve; interest rate term structure analysis; bootstrapping method;
    All these keywords.

    JEL classification:

    • C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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