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Method for calculating a CNO Zero Coupon Yield Curve

This note presents the calculation method used by the FBA to determine the zero-coupon yield curve.

The published historical yield curve is provided by spot values for calendar years maturities comprised between 1 and 60 years.

The zero-coupon yield curve computed by the FBA is related to the swap and future yield curve. For a specific month, is calculated using the last working day closing rate of this given month.

 

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last update 01 October 2019