The University of Southampton
University of Southampton Institutional Repository

Stripping coupons with linear programming

Record type: Article

When using market prices to fit the parameters of models for the price of bonds, the first step is to strip the market bonds of their coupons. The standard bootstrapping technique of stripping coupons can cause mispricing if there are no bonds that mature for some periods or if there are several bonds that mature at the same time. In this article we suggest a new linear programming formulation to strip out riskfree and risky zero coupon bond prices, which works whatever the current date, coupon dates, and sampling dates. The stripped U.S. Treasury bond prices match the observed U.S. STRIPS prices. We also discuss issues of liquidity, sampling periods, and implied default probabilities of corporate bonds

Full text not available from this repository.

Citation

Allen, David, Zheng, E., Thomas, Harry and Lyn, C. (2000) Stripping coupons with linear programming Journal of Fixed Income, 10, (2), pp. 80-87.

More information

Published date: 2000
Organisations: Operational Research

Identifiers

Local EPrints ID: 35664
URI: http://eprints.soton.ac.uk/id/eprint/35664
ISSN: 1059-8596
PURE UUID: becfc21c-92c0-4cde-9530-442519bda8b7

Catalogue record

Date deposited: 03 Aug 2006
Last modified: 17 Jul 2017 15:47

Export record

Contributors

Author: David Allen
Author: E. Zheng
Author: Harry Thomas
Author: C. Lyn

University divisions


Download statistics

Downloads from ePrints over the past year. Other digital versions may also be available to download e.g. from the publisher's website.

View more statistics

Atom RSS 1.0 RSS 2.0

Contact ePrints Soton: eprints@soton.ac.uk

ePrints Soton supports OAI 2.0 with a base URL of http://eprints.soton.ac.uk/cgi/oai2

This repository has been built using EPrints software, developed at the University of Southampton, but available to everyone to use.

We use cookies to ensure that we give you the best experience on our website. If you continue without changing your settings, we will assume that you are happy to receive cookies on the University of Southampton website.

×