Zero curve generator for UK gilts

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