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Answer the Question below please showing the calculations and writing the solutions 1. The following rates are actual yields on US yield curve observed on
Answer the Question below please showing the calculations and writing the solutions
1. The following rates are actual yields on US yield curve observed on the dates given:
1 Mo | 2 Mo | 3 Mo | 6 Mo | 1 Yr | 2 Yr | 3 Yr | 5 Yr | 7 Yr | 10 Yr | 20 Yr | 30 Yr | |
02/19/2021 | 0.03 | 0.03 | 0.04 | 0.06 | 0.07 | 0.11 | 0.22 | 0.59 | 0.98 | 1.34 | 1.98 | 2.14 |
08/08/2019 | 2.08 | 1.97 | 1.91 | 1.86 | 1.72 | 1.48 | 1.44 | 1.42 | 1.47 | 1.52 | 1.8 | 1.98 |
- Given information about yields on 2-19-2021, calculate the expected 4-year yield that the market is expecting between 19 February 2024 and 19 February 2028. Also calculate the 20-year yield that is expected to prevail between 19 February 2031 and 19 February 2041 under the expectations theory of the term structure of interest rates.
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