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Consider a multi-factor key rate model with key rates being YTM on 2, 5, 10, and 30-year par ponds. Assume also that currently YTM on
Consider a multi-factor key rate model with key rates being YTM on 2, 5, 10, and 30-year par ponds. Assume also that currently YTM on 2, 5, 10, and 30-year bonds are 9%, 8%, 7%, and 6% respectively. Assume all bonds have a $100 face value. Using this information, you can find
KR01 2=0.017938 for 2-year par bond
KR01 5=0.040554 for 5-year par bond
KR01 10=0.071062 for 10-year par bond
Find KR012, KR015, KR0110, and KR01 30 for 30-year par bon
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