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4. Curve Filling- 20 Points Consider the following data on continuously compounded interest rates: 7 17 1 Month 2.46% 3 Month 2.46% 2.52% 6 Month
4. Curve Filling- 20 Points Consider the following data on continuously compounded interest rates: 7 17 1 Month 2.46% 3 Month 2.46% 2.52% 6 Month 1 Year 2.50% 2 Year 3 Year 2.46% 2.42% 2.42% 5 Year 7 Year 2.51% 2.61% 10 Year 20 Year 2.84% (a) Using the Nelson-Siegel method and Excel solver determine the model implied continuously compounded interest rates for the maturity of 10 Year, 15 Year, and 30 Year. (Set the initial values of parameters as to 2.46%. 0,02 -0,2-1. Subject to the constraint that a > 0.001. Selext the solving method as "GRG Nonlinear") (b) Using the Nelson-Siegel-Svensson method and Excel solver determine the model implied con- tinuously compounded interest rates for the maturity of 10 Year, 15 Year, and 30 Year? (Set the initial values of parameters as to - 2.46%, -0,88 0, X1-1, 03 - 0, X2 15. Subject to the constraint that A1 > 0.001. Select the solving method as GRG Nonlinear") 4 4. Curve Filling- 20 Points Consider the following data on continuously compounded interest rates: 7 17 1 Month 2.46% 3 Month 2.46% 2.52% 6 Month 1 Year 2.50% 2 Year 3 Year 2.46% 2.42% 2.42% 5 Year 7 Year 2.51% 2.61% 10 Year 20 Year 2.84% (a) Using the Nelson-Siegel method and Excel solver determine the model implied continuously compounded interest rates for the maturity of 10 Year, 15 Year, and 30 Year. (Set the initial values of parameters as to 2.46%. 0,02 -0,2-1. Subject to the constraint that a > 0.001. Selext the solving method as "GRG Nonlinear") (b) Using the Nelson-Siegel-Svensson method and Excel solver determine the model implied con- tinuously compounded interest rates for the maturity of 10 Year, 15 Year, and 30 Year? (Set the initial values of parameters as to - 2.46%, -0,88 0, X1-1, 03 - 0, X2 15. Subject to the constraint that A1 > 0.001. Select the solving method as GRG Nonlinear") 4
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