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Can anyone help me with this problem? Given below are the short term deposit rates, futures prices and swap rates for Monday May 15, 2017.
Can anyone help me with this problem?
Given below are the short term deposit rates, futures prices and swap rates for Monday May 15, 2017. Use the above data and Excel to answer the questions below, and attach the printouts of the spreadsheet containing the forward rates and their maturities. (a) Construct the 3-month forward rate curve using the naive bootstrap method. You may use linear interpolation to compute the discount factors and the swap rates that may be required. (b) Apply the Frishling and Yamamura smoothing algorithm to construct the smoothed 3-month forward rate curve. You will need to use Excel's Solver for this part. (c) Determine the price of a 4-year semiannual 4% coupon bond with face value $10,000,000 according to the curves constructed in parts (a)-(b). Given below are the short term deposit rates, futures prices and swap rates for Monday May 15, 2017. Use the above data and Excel to answer the questions below, and attach the printouts of the spreadsheet containing the forward rates and their maturities. (a) Construct the 3-month forward rate curve using the naive bootstrap method. You may use linear interpolation to compute the discount factors and the swap rates that may be required. (b) Apply the Frishling and Yamamura smoothing algorithm to construct the smoothed 3-month forward rate curve. You will need to use Excel's Solver for this part. (c) Determine the price of a 4-year semiannual 4% coupon bond with face value $10,000,000 according to the curves constructed in parts (a)-(b)Step by Step Solution
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