Annual Bond Spot Curve Bootstrap Calculator
Infer annual discount factors and effective annual spot rates from a complete sequence of annual-coupon bond prices.
YOUR CALCULATION
Result
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Calculation steps
Work through one step at a time or reveal the complete calculation. The steps use your current inputs.
How to calculate
Use earlier discount factors to value each longer bond’s interim coupons. Attribute the remaining price to its final coupon plus principal.
D_N=(price_N−coupon_N×Σprevious discount factors)/(100+coupon_N); spot_N=D_N^(−1/N)−1
Worked example
Annual-coupon par bonds priced at 100 with 5% coupons at years 1, 2 and 3 imply a flat 5% annual spot curve.
Assumptions and input details
Exactly one bond for every whole year from 1 through N, up to 30 years, annual coupons, full prices and valuation at a coupon date. Bonds must share a comparable currency/credit basis. No interpolation, accrued interest, default or option adjustment. Inconsistent nonpositive discount factors are rejected; supported factors are 1e−12 to 1e12. Negative spot/forward rates are allowed when implied. No live market data or national tax rules are inferred. Enter consistent amounts in one currency unless explicitly stated otherwise.
References: CFA Institute: bootstrapping spot rates
Using this calculator
Can I enter my own problem?
Yes. Replace the example values with your own inputs. The result, calculation steps, tables and applicable diagrams update from those inputs. Blank or invalid values clear the result; example values are never silently substituted for missing inputs.
Are the results exact?
Results use floating-point arithmetic and displayed rounding. Read the formula, assumptions and any stated data precision before interpreting the result.
Is my input uploaded?
The calculation runs in your browser. No account, file upload or external AI service is required. Inputs are not saved between page reloads.
Derive the implied forward rate between two entered effective annual spot rates and maturities.
Price a fixed-coupon bond at a coupon date or solve its yield from an entered full price.
Add balances in different currencies, including debts. Convert the total and compare a table and currency chart.
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