Abstract

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A Real-Time Zero-Coupon Yield Curve Cubic Spline in Excel

Robert B. Scott
Schroder Investment Management

October 16, 2009

Abstract:
This paper details a method for estimating a zero-coupon yield curve using a set of securities data. The approach uses a McCullough cubic spline and can be estimated using restricted least squares in Excel which provides a considerable advantage over other more advanced, but not necessarily more accurate models.

Keywords: spline, yield curve, excel

Working Paper Series

Date posted: October 19, 2009 ; Last revised: October 19, 2009

Suggested Citation

Scott, Robert B., A Real-Time Zero-Coupon Yield Curve Cubic Spline in Excel (October 16, 2009). Available at SSRN: http://ssrn.com/abstract=1489823

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Contact Information

Robert B. Scott (Contact Author)

Schroder Investment Management ( email )