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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
KR012=0.017938 for 2-year par bond KR015=0.040554 for 5-year par bond KR0110=0.071062 for 10-year par bond
a) Find KR012, KR015, KR0110, and KR0130 for 30-year par bond
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