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Curve bootstrap reconciliation sheet

A bootstrap worksheet keeps the instrument equation and its price check beside each solved factor.

Omni Finance AcademyBy Omni Finance Academy
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Enter the full dated schedule

The downloadable CSV contains the three fictional instruments used in the bootstrap example. It is an editable record, not a spreadsheet engine. Columns separate the supplied price, payment amounts, previously solved contribution, unknown final factor and repriced value.

Complete one equation before extending it

For the two-year instrument, use the already solved D1 to value its first coupon. Write the remaining price divided by the entire final payment. Carry the unrounded result into the third-year equation. A note that only records a zero-rate percentage hides this dependency.

Reconcile original prices

Residual means repriced value minus supplied price. Under exact inputs and arithmetic it is zero for these examples. Rounding can create a small residual; an omitted coupon can create a much larger discrepancy. Preserve the original price precision so the two causes can be distinguished.

Retain compatibility questions

Record whether instruments share valuation date, payment certainty and settlement conventions. This worksheet does not certify a market curve or fill missing maturities automatically. Resolve those assumptions before treating the solved factors as one comparable curve.

Further references