Answered step by step
Verified Expert Solution
Link Copied!

Question

1 Approved Answer

Consider the yield data in the table and fit the full yield curve for maturities from 1 to 30 years using Nelson-Siegel-Svensson model in excel.

Consider the yield data in the table and fit the full yield curve for maturities from 1 to 30 years using Nelson-Siegel-Svensson model in excel. Term to Maturity 1yr 3yr 8yr 18yr 21y Yield to Maturity 1.2% 1.6% 2.1% 2.2% 2.7%

Time Yield NSS Residual
1 0.39% 2.16% 0.00031350342546 1 0.01
2 0.61% 2.03% 0.00020059807792 2 0.01
3 1.85% 3 0.01
4 1.70% 4 0.01
5 1.58% 1 1.00
8 1.37% 2 1.00
10 1.30%
15 2.70% 1.20% 0.00022500020190
20 1.15%
25 3.32% 1.12% 0.00048400000001
30 1.10%
Sum 0.00122310170529
0.00

Step by Step Solution

There are 3 Steps involved in it

Step: 1

blur-text-image

Get Instant Access to Expert-Tailored Solutions

See step-by-step solutions with expert insights and AI powered tools for academic success

Step: 2

blur-text-image

Step: 3

blur-text-image

Ace Your Homework with AI

Get the answers you need in no time with our AI-driven, step-by-step assistance

Get Started

Recommended Textbook for

Financial Markets And Institutions

Authors: Jeff Madura

13th Edition

0357130790, 978-0357130797

More Books

Students also viewed these Finance questions