Question
Hello, I need help with my assignment listed below I keep getting tripped up on the steps I need to perform for my assignment. Thank
Hello, I need help with my assignment listed below I keep getting tripped up on the steps I need to perform for my assignment. Thank you
As the junior analyst for an investment management firm, you have been assigned to prepare a presentation for clients regarding the term structure of interest rates. Because the shape of the term structure of interest rates is often used to predict future macroeconomic conditions as wells as the course of future short-term interest rates, your presentation will consist of the following: Plot the yield curve for each year between 2006 2022 and display these data on one graph. For each year indicate the shape of the yield curve, i.e., Normal, Inverted, or Flat. Calculate and plot the series of one-year forward rates for each year between 2006 2022, i.e., 2f1, 3f1, 4f1, 5f1, 6f1, 7f1, 8f1, 9f1, 10f1 the presentation must include your forward rate estimates. For each forward-rate curve indicate the expected direction of future short-term rates, i.e., Increasing, Decreasing, Constant. To complete this assignment, one of your colleagues has provided you with the attached spreadsheet that contains mid-year, constant-maturity and zero-coupon yields from 2006 2022. These data are published by the Board of Governors of the Federal Reserve System and represents constant maturity and zero-coupon yields that are interpolated by the U.S. Treasury from the daily yield curve for non-inflation-indexed Treasury securities. These yields are based on the closing market bid yields on actively traded Treasury securities in the over- the-counter market. These market yields are calculated from composites of quotations obtained by the Federal Reserve Bank of New York.
Yield Curve
DATE 1-mo 3-mo 1-yr 2-yr 5-yr 7-yr 10-yr 20-yr 30-yr 2006 5.02 5.10 5.11 4.97 4.91 4.93 4.99 5.17 5.07 2007 5.13 4.96 4.85 4.56 4.60 4.67 4.78 5.00 4.92 2008 1.55 1.68 2.27 2.52 3.25 3.56 3.99 4.63 4.59 2009 0.14 0.18 0.48 1.13 2.53 3.14 3.52 4.29 4.31 2010 0.14 0.15 0.29 0.55 1.60 2.30 2.94 3.74 3.98 2011 0.16 0.10 0.20 0.36 1.35 2.09 2.82 3.77 4.12 2012 0.07 0.11 0.16 0.23 0.60 0.98 1.51 2.21 2.56 2013 0.03 0.04 0.11 0.31 1.38 2.00 2.60 3.34 3.64 2014 0.01 0.03 0.12 0.53 1.76 2.24 2.58 3.07 3.32 2015 0.04 0.08 0.33 0.67 1.54 1.93 2.20 2.61 2.92 2016 0.19 0.28 0.50 0.67 1.03 1.29 1.46 1.78 2.18 2017 1.00 1.07 1.23 1.34 1.84 2.11 2.30 2.66 2.89 2018 1.94 2.03 2.44 2.67 2.85 2.92 2.96 3.03 3.08 2019 2.01 2.08 2.00 1.89 1.84 1.92 2.02 2.31 2.53 2020 0.09 0.09 0.11 0.11 0.21 0.39 0.55 0.98 1.20 2021 0.05 0.06 0.07 0.19 0.69 1.00 1.24 1.81 1.89 2022 2.20 2.42 2.93 2.85 2.69 2.69 2.68 3.23 3.02
Zero-Coupon
DATE 1-yr 2-yr 3-yr 4-yr 5-yr 6-yr 7-yr 8-yr 9-yr 10-yr 2006 5.1635 5.1835 5.1377 5.0864 5.0520 5.0397 5.0483 5.0741 5.1132 5.1622 2007 4.8784 4.9002 4.8834 4.8682 4.8686 4.8871 4.9217 4.9692 5.0263 5.0901 2008 2.2662 2.6521 2.9543 3.2036 3.4182 3.6088 3.7820 3.9417 4.0905 4.2304 2009 0.5512 1.1007 1.6471 2.1428 2.5768 2.9529 3.2790 3.5639 3.8152 4.0390 2010 0.2797 0.6227 1.0480 1.4710 1.8606 2.2092 2.5185 2.7933 3.0390 3.2602 2011 0.1503 0.4936 0.9458 1.4026 1.8248 2.2020 2.5353 2.8298 3.0915 3.3258 2012 0.1943 0.3222 0.4808 0.6514 0.8250 0.9971 1.1655 1.3293 1.4880 1.6416 2013 0.1497 0.4218 0.7591 1.0990 1.4177 1.7085 1.9720 2.2108 2.4285 2.6282 2014 0.1771 0.5144 0.8780 1.2258 1.5442 1.8313 2.0899 2.3238 2.5369 2.7324 2015 0.3344 0.7300 1.0590 1.3408 1.5886 1.8110 2.0141 2.2017 2.3768 2.5413 2016 0.4819 0.6571 0.7792 0.8855 0.9912 1.1013 1.2165 1.3358 1.4578 1.5812 2017 1.2685 1.4671 1.6021 1.7147 1.8223 1.9314 2.0437 2.1587 2.2755 2.3929 2018 2.3322 2.5592 2.6315 2.6529 2.6678 2.6929 2.7326 2.7862 2.8513 2.9252 2019 1.9569 1.8037 1.7202 1.6923 1.7063 1.7510 1.8176 1.8994 1.9914 2.0902 2020 0.1918 0.1988 0.2007 0.2209 0.2648 0.3303 0.4134 0.5098 0.6155 0.7275 2021 0.1279 0.2882 0.4609 0.6369 0.8118 0.9835 1.1508 1.3134 1.4710 1.6236 2022 2.7063 3.1088 3.1913 3.1577 3.0981 3.0487 3.0212 3.0170 3.0332 3.0662
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