Question
As the junior analyst for an investment management firm, you have been assigned to prepare a presentation for clients regarding the term structure of interest
Plot the yield curve for each year between 2006 - 2022 and display these data on one
graph.
- For each year indicate the shape of the yield curve, i.e., Normal, Inverted, or Flat.
- Calculate and plot the series of one-year forward rates for each year between 2006 - 2022 - the presentation must include your forward rate estimates.
- For each forward-rate curve indicate the expected direction of future short-term rates, i.e., Increasing, Decreasing, Constant.
To complete this assignment, one of your colleagues has provided you with the attached spreadsheet that contains mid-year, constant-maturity and zero-coupon yields from 2006 -
2022. These data are published by the Board of Governors of the Federal Reserve System and represents "constant maturity" and zero-coupon yields that are interpolated by the U.S.
Treasury from the daily yield curve for non-inflation-indexed Treasury securities. These yields are based on the closing market bid yields on actively traded Treasury securities in the over-the-counter market. These market yields are calculated from composites of quotations obtained by the Federal Reserve Bank of New York.
Step by Step Solution
There are 3 Steps involved in it
Step: 1
Get Instant Access to Expert-Tailored Solutions
See step-by-step solutions with expert insights and AI powered tools for academic success
Step: 2
Step: 3
Ace Your Homework with AI
Get the answers you need in no time with our AI-driven, step-by-step assistance
Get Started