RT Journal Article SR Electronic T1 Stripping Coupons with Linear Programming JF The Journal of Fixed Income FD Institutional Investor Journals SP 80 OP 87 DO 10.3905/jfi.2000.319271 VO 10 IS 2 A1 David E. Allen A1 Lyn C. Thomas A1 Harry Zheng YR 2000 UL https://pm-research.com/content/10/2/80.abstract AB When using market prices to fit the parameters of models for the price of bonds, the first step is to strip the market bonds of their coupons. The standard bootstrapping technique of stripping coupons can cause mispricing if there are no bonds that mature for some periods or if there are several bonds that mature at the same time. In this article we suggest a new linear programming formulation to strip out riskfree and risky zero coupon bond prices, which works whatever the current date, coupon dates, and sampling dates. The stripped U.S. Treasury bond prices match the observed U.S. STRIPS prices. We also discuss issues of liquidity, sampling periods, and implied default probabilities of corporate bonds.