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Master the Zero Coupon Curve in Excel: 2026 Quantitative Finance Guide

"Building a zero coupon curve—often referred to as the spot curve—is a fundamental requirement for accurate bond pricing, risk management, and derivative valuation in 2026. This guide focuses specifically on the financial application of extracting a theoretical spot rate curve from a series of coupon-bearing bonds or swap rates using Excel. The zero coupon curve represents the yield to maturity of pure discount bonds for different maturities. Unlike a standard yield-to-maturity (YTM) curve, which is skewed by coupon effects and "pull-to-par" dynamics, the spot curve provides the "true" interest rate for a single cash flow at a specific point i..."

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