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Consider the following table with Treasury Yield Rates: Time to Maturity 3 months 6 months 1 year 2 years 3 years 5 years 7 years
Consider the following table with Treasury Yield Rates: Time to Maturity 3 months 6 months 1 year 2 years 3 years 5 years 7 years 10 years 15 years Yield Rate (continuously compounded) 0.15% 0.19% 0.31% 0.51% 0.75% 1.41% 2.02% 2.37% 2.53% Use the data provided to build the yield curve using the cubic spline model. R(0,t) = a + b(t t) + c(t t)2 + ) dx(t tk)} where (t tk)+ = max{t tk, 0} Consider the following table with Treasury Yield Rates: Time to Maturity 3 months 6 months 1 year 2 years 3 years 5 years 7 years 10 years 15 years Yield Rate (continuously compounded) 0.15% 0.19% 0.31% 0.51% 0.75% 1.41% 2.02% 2.37% 2.53% Use the data provided to build the yield curve using the cubic spline model. R(0,t) = a + b(t t) + c(t t)2 + ) dx(t tk)} where (t tk)+ = max{t tk, 0}
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