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
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 rates. Because the shape of the term structure of interest rates is often used to predict future macroeconomic conditions as wells as the course of future short-term interest rates, your presentation will consist of the following: -Plot the yield curve for each year between 2006 2020 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 2020, i.e., 2f1, 3f1, 4f1, 5f1, 6f1, 7f1, 8f1, 9f1, 10f1 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.
yield curve
DATE 1-mo 3-mo 1-yr 2-yr 5-yr 7-yr 10-yr
2006 5.02 5.10. 5.11 4.97 4.91 4.93 4.99
2007 5.13 4.96 4.85 4.56 4.60 4.67 4.78
2008 1.55 1.68. 2.27 2.52 3.25 3.56 3.99
2009 0.14 0.18 0. 48 1.13 2.53 3.14 3.52
2010 0.14 0.15 0.29 0.55 1.60 2.30 2.94
2011 0.16 0.10 0.20 0.36 1.35 2.09 2.82
2012. 0.07 0.11 0.16. 0.23 0.60 0.98 1.51
2013 0.03 0.04 0.11 0.31 1.38 2.00 2.60
2014 0.01 0.03 0.12 0.53 1.76 2.24 2.58
2015 0.04 0.08 0.33 0.67 1.54 1.93 2.20
2016 0.19 0.28 0.50. 0.67 1.03 1.29. 1.46
2017 1.00 1.07. 1.23 1.34 1.84 2.11 2.30
2018 1.94 2.03 2.44 2.67 2.85 2.92 2.96
2019 2.01 2.08 2.00 1.89 1.84 1.92 2.02
2020 0.09 0.09. 0.11 0.11 0.21 0.39 0.55
2021 0.05 0.06. 0.07 0.19 0.69 1.00 1.24
2022 2.20 2.42. 2.93 2.85 2.69 2.69 2.68
zero-coupon
DATE 1-yr 2-yr 3-yr 4-yr 5-yr 6-yr 7-yr 8-yr 9-yr 10-yr
2006 5.1635 5.1835 5.1377 5.0864 5.0520 5.0397 5.0483 5.0741 5.1132 5.1622
2007 4.8784 4.9002 4.8834 4.8682 4.8686 4.8871 4.9217 4.9692 5.0263 5.0901
2008 2.2662 2.6521 2.9543 3.2036 3.4182 3.6088 3.7820 3.9417 4.0905 4.2304
2009 0.5512 1.1007 1.6471 2.1428 2.5768 2.9529 3.2790 3.5639 3.8152 4.0390
2010 0.2797 0.6227 1.0480 1.4710 1.8606 2.2092 2.5185 2.7933 3.0390 3.2602
2011 0.1503 0.4936 0.9458 1.4026 1.8248 2.2020 2.5353 2.8298 3.0915 3.3258
2012 0.1943 0.3222 0.4808 0.6514 0.8250 0.9971 1.1655 1.3293 1.4880 1.6416
2013 0.1497 0.4218 0.7591 1.0990 1.4177 1.7085 1.9720 2.2108 2.4285 2.6282
2014 0.1771 0.5144 0.8780 1.2258 1.5442 1.8313 2.0899 2.3238 2.5369 2.7324
2015 0.3344 0.7300 1.0590 1.3408 1.5886 1.8110 2.0141 2.2017 2.3768 2.5413
2016 0.4819 0.6571 0.7792 0.8855 0.9912 1.1013 1.2165 1.3358 1.4578 1.5812
2017 1.2685 1.4671 1.6021 1.7147 1.8223 1.9314 2.0437 2.1587 2.2755 2.3929
2018 2.3322 2.5592 2.6315 2.6529 2.6678 2.6929 2.7326 2.7862 2.8513 2.9252
2019 1.9569 1.8037 1.7202 1.6923 1.7063 1.7510 1.8176 1.8994 1.9914 2.0902
2020 0.1918 0.1988 0.2007 0.2209 0.2648 0.3303 0.4134 0.5098 0.6155 0.7275
2021 0.1279 0.2882 0.4609 0.6369 0.8118 0.9835 1.1508 1.3134 1.4710 1.6236
2022 2.7063 3.1088 3.1913 3.1577 3.0981 3.0487 3.0212 3.0170 3.0332 3.0662
May someone please help me ASAP. I don't think what I am doing is right. Does not need to solve everything but I just want a few example and how to do the plot. thank you in advance.
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