Subject: Zero curve generator for UK gilts
From: [email-masked]
To: [email-masked]
Cc: [email-masked], [email-masked]
Date: Tue, 15 Feb 2000 08:09:00 -0800 (PST)

Anjam,

Here is the model for fitting the term structure of UK gilts.
The basic idea is as follows:

dirty price_{ith gilt} = Sum_{j} C_{i}/2*discount factor(t_{j,i} )+ 
100*discount factor(t_{Ni, i}

Using a five parameters analytical form for the discount factors, and 
minimizing the sum of
absolute errors, I can derive a smooth zero curve.   The model needs an 
initial guess
for the parameters, this may require some experience. The log file can help 
you to see
how well the optimization works.

Let me know if you have any questions.

Zimin