Spot Curve

Spot curves are derived or bootstrapped from deposit rates, futures, forward rate agreements, swap rates that represent the most liquid and dominant interest rate products for certain time horizons

The objective of the bootstrap algorithm is to find the spot zero at each maturity point and cash flow date sequentially so that all curve observed instruments can be priced back to the market quotes.

ResearchGate spot curve

ResearchGate spot curve pdf

Zenodo repo curve

Github repo curve

Core bond curve

Core bond curve pdf