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Hard · Algorithms & Data Structures · Quant Trader interview question · yield-curve, bootstrapping, fixed-income, zero-rate
You are given the following par rates for annual-pay government bonds: 1-year par rate: 4% 2-year par rate: 5% 3-year par rate: 6% Describe the process of bootstrapping to determine the zero rates for years 1, 2, and 3. Assume annual compounding.