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  • Aug 3rd, 2004
  • Comments Off on NCEL develops Zero Coupon Yield Curve
National Commodity Exchange Limited (NCEL) on Monday announced that it has developed a Zero Coupon Yield Curve (ZCYC) providing users a benchmark to assess market values of interest rates today or to value the future cash flows of assets currently on their books.

The curve has been created by bootstrapping a set of T-Bills and PIBs primary auction rates.

The global market has become more sophisticated and participants are seeking accurate and valuable insight into market activity throughout the trading day. High quality ZCYC data, provided in real-time, is an important asset.

NCEL will make available ZCYC data to clients in real-time. The development of the ZCYC is based on tried and tested methodology and is being widely used in countries such as the USA, France, Sweden, India, UK, Norway, Switzerland, Finland, etc. Yield curves offer a snapshot of interest rates today. Most economists also view them as a tool for predicting future rates. A ZCYC is quite different from a simple yield to maturity curve as it uses a process known as bootstrapping to calculate rates between rates rather than joining two points together on a graph.-PR

Copyright Business Recorder, 2004


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