Estimating the Term Structure: Bootstrapping Example

This lecture covers the bootstrapping method, widely used in trading desks, to build the term structure from short to long maturities using US market data on LIBOR, futures, and swaps. It explains the process of deriving discount curves and swap rates through linear interpolation, resulting in a detailed analysis of the discount curve and implied forward curve. The instructor demonstrates how bootstrapping ensures exact market price reconstruction, crucial for interest rate risk management and trading desks.