Given bond prices and yields as published by the financial press or other information sources, obtain the U.S. Treasury Yield Curve.

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Excel 2013 FIGURE 11.3 The Yield Curve - Using It To Determine Forward Rates. C D E F G KL B THE YIELD CURVE Using It To Determine Forward Rates H J M N 3 Yield Curve Inputs 4 Today's Date 5 One Month Treasury Bill 6 Three Month Treasury Bill 7 Six Month Treasury Bill 8 One Year Treasury Strip 9 Two Year Treasury Strip 10 Three Year Treasury Strip 11 Four Year Treasury Strip 12 Five Year Treasury Strip 11/15/2016 3.09 0.730 % 1.439% 11/15/2017 4.09 1.130% 2.378% 11/15/2018 5.09 1.480 % 2.926% Maturity Date 10/11/2013 Time To Yield To Forward Maturity Maturity Rates US Treasury Zero-Coupon Yield Curve 5.0% 11/15/2013 1/9/2014 4/10/2014 0.09 0.021% 0.021% 0.24 0.061% 0.086% 0.50 0.071% 0.081% 10/15/2014 1.01 0.180% 0.286% 10/15/2015 2.01 0.350% 0.522 % Yield To Maturity (Annual) 4.0% 3.0% 2.0% 1 12 1.0% 13 Ten Year Treasury Strip 14 Fifteen Year Treasury Bond 11/15/2023 10.09 2.920 % 4.408% 11/15/2028 15.09 3.550% 4.834% Yields --Farward Rates Notation: 0.0% 15 Twenty Year Treasury Bond 11/15/2033 16 Twenty Five Year Treasury Bond 11/15/2038 20.09 3.820% 4.639% 25.09 3.950% 4.474% f 0 5 10 15 20 Time To Maturity (Years) 25 30 = an earlier date Ta later date 17 Thirty Year Treasury Bond 5/15/2043 29.59 4.010% 4.345% 18 19 20 21 22 23 (2) Forward Rate from date t to date T S=((1+r)/(1+ y)-1 Enter =(((1+D5) C5)/((1+D4) C4)) (1/(C5-C4))-1 and copy down y: = date T yield = forward rate from date t to date T = date t yield