Answered step by step
Verified Expert Solution
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
Get Instant Access to Expert-Tailored Solutions
See step-by-step solutions with expert insights and AI powered tools for academic success
Step: 2
Step: 3
Ace Your Homework with AI
Get the answers you need in no time with our AI-driven, step-by-step assistance
Get Started