What is Bootstrapping?

Bootstrapping is creating a theoretical spot rate curve (or zero curve) using one yield projection as a basis for the yield of the next maturity, usually with reference to current and projected market figures. Bootstrapping occurs because Treasury bills are not available for every time period, which means the Bootstrapping method can fill in any missing values, so that one can derive the yield curve, and ultimately the value of a given zero coupon yield bond.