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Calculations Please see the UST yield curve and the yields in the table at the bottom of the page. Assume these rates are all annual
Calculations Please see the UST yield curve and the yields in the table at the bottom of the page. Assume these rates are all annual compounding rates, to make the math simpler. Remember: input %'s in canvas as numbers to three decimal places (i.e. 5.125% is entered in Canvas as 5.125, not 0.051). What is the implied 1yr rate in 2 years? Need: Short Spot Rate: 2yr rate (2.400%), Long Spot Rate: 3yr rate (2.750%) What is the implied 2yr rate in 2 years? Need: Short Spot Rate: 2yr rate (2.400%), Long Spot Rate: 4yr rate (3.050%) Market Conditions UST Yield Curve Yield Maturity (Years) 1 4.000% 2.000% 3.500% 2 2.400% 3.000% 3 2.750% 2.500% 4 3.050% 5 3.300% 2.000% 6 3.500% 1.500% 7 3.650% 1.000% 8 3.750% 0.500% 9 3.800% 0.000% 10 3.800% 1 2 3 4 8 9 10 30 5 6 7 Maturity (Years) 30 3.800% 2
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