Exercise 1 For the Treasury curve with the data given below Treasury Pric Coupon Price Freq 100 1 2 1002 100 2 2Y 100 1 92 1 75 1 71 1 76 1 87 2 00 2 31 2 52 Coupon 1 92 1 75 1 71 1 76 1 87 2 00 2 31 2 52 7Y 10Y 20Y 30Y 100 100 100 100 2 2 a) Estimate the forward rates assuming they are piecewise constant Forward rates are constant on the following intervals b) Estimate the forward rates assuming they are piecewise linear Forward rates at interval meetings are equal Functional form of the forward rates given below Years 0 1 Constant Beg End Fwd1 Years 0 1 Linear Begin FWD1 Linear End FWD1 1 2 2 3 3 5 5 7 7 10 Fwd2Fwd3Fwd4Fwd5 Fwd6 1 2 2 3 3 5 5 7 7 10 FWD2 FWD2 FWD3 FWD4 FWD5 FWD2 FWD3FWD4 FWD5 FWD6 10 20 Fwd7 10 20 FWD6 FWDZ 20 30 Fwd8 20 30 FWD7 FWDS Can use excel with the solver function for this exercise Exercise 1 For the Treasury curve with the data given below Treasury Pric Coupon Price Freq 100 1 2 1002 100 2 2Y 100 1 92 1 75 1 71 1 76 1 87 2 00 2 31 2 52 Coupon 1 92 1 75 1 71 1 76 1 87 2 00 2 31 2 52 7Y 10Y 20Y 30Y 100 100 100 100 2 2 a) Estimate the forward rates assuming they are piecewise constant Forward rates are constant on the following intervals b) Estimate the forward rates assuming they are piecewise linear Forward rates at interval meetings are equal Functional form of the forward rates given below Years 0 1 Constant Beg End Fwd1 Years 0 1 Linear Begin FWD1 Linear End FWD1 1 2 2 3 3 5 5 7 7 10 Fwd2Fwd3Fwd4Fwd5 Fwd6 1 2 2 3 3 5 5 7 7 10 FWD2 FWD2 FWD3 FWD4 FWD5 FWD2 FWD3FWD4 FWD5 FWD6 10 20 Fwd7 10 20 FWD6 FWDZ 20 30 Fwd8 20 30 FWD7 FWDS Can use excel with the solver function for this exercise

Question

Exercise 1 For the Treasury curve with the data given below  Treasury Pric Coupon Price Freq 100 1 2 1002 100 2 2Y 100 1 92  1 75  1 71  1 76  1 87  2 00  2 31  2 52  Coupon 1 92  1 75  1 71  1 76  1 87  2 00  2 31  2 52  7Y 10Y 20Y 30Y 100 100 100 100 2 2 a) Estimate the forward rates assuming they are piecewise constant  Forward rates are constant on the following intervals b) Estimate the forward rates assuming they are piecewise linear  Forward rates at interval meetings are equal Functional form of the forward rates given below Years 0 1 Constant Beg End Fwd1 Years 0 1 Linear Begin FWD1 Linear End FWD1 1 2 2 3 3 5 5 7 7 10 Fwd2Fwd3Fwd4Fwd5  Fwd6 1 2   2 3 3 5 5 7 7 10 FWD2 FWD2 FWD3 FWD4 FWD5 FWD2 FWD3FWD4 FWD5 FWD6 10 20 Fwd7 10 20 FWD6 FWDZ 20 30 Fwd8  20 30 FWD7 FWDS Can use excel with the solver function for this exercise  Exercise 1 For the Treasury curve with the data given below  Treasury Pric Coupon Price Freq 100 1 2 1002 100 2 2Y 100 1 92  1 75  1 71  1 76  1 87  2 00  2 31  2 52  Coupon 1 92  1 75  1 71  1 76  1 87  2 00  2 31  2 52  7Y 10Y 20Y 30Y 100 100 100 100 2 2 a) Estimate the forward rates assuming they are piecewise constant  Forward rates are constant on the following intervals b) Estimate the forward rates assuming they are piecewise linear  Forward rates at interval meetings are equal Functional form of the forward rates given below Years 0 1 Constant Beg End Fwd1 Years 0 1 Linear Begin FWD1 Linear End FWD1 1 2 2 3 3 5 5 7 7 10 Fwd2Fwd3Fwd4Fwd5  Fwd6 1 2   2 3 3 5 5 7 7 10 FWD2 FWD2 FWD3 FWD4 FWD5 FWD2 FWD3FWD4 FWD5 FWD6 10 20 Fwd7 10 20 FWD6 FWDZ 20 30 Fwd8  20 30 FWD7 FWDS Can use excel with the solver function for this exercise

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Question

Exercise 1 For the Treasury curve with the data given below. Treasury Pric Coupon Price Freq 100 1 2 1002 100 2 2Y 100 1.92%

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