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Date 1 Mo 2 Mo 3 Mo 6 Mo 1 Yr 2 Yr 3 Yr 5 Yr 7 Yr 10 Yr 20 Yr 30 Yr 11/01/19 1.58 1.58 1.52 1.55 1.53 1.56 1.55 1.55 1.63 1.73 2.03 2.21 11/04/19 1.58 1.57 1.53 1.57 1.56 1.60 1.59 1.60 1.69 1.79 2.10 2.27 11/05/19 1.56 1.57 1.56 1.58 1.62 1.63 1.63 1.66 1.77 1.86 2.17 2.34 11/06/19 1.55 1.56 1.56 1.57 1.58 1.61 1.60 1.63 1.73 1.81 2.13 2.30 11/07/19 1.57 1.57 1.56 1.58 1.58 1.68 1.70 1.74 1.84 1.92 2.24 2.40 11/08/19 1.56 1.56 1.55 1.58 1.58 1.68 1.70 1.74 1.86 1.94 2.27 2.43 11/12/19 1.56 1.56 1.59 1.59 1.58 1.66 1.69 1.73 1.84 1.92 2.24 2.39 11/13/19 1.56 1.57 1.57 1.59 1.57 1.63 1.65 1.69 1.79 1.88 2.20 2.36 11/14/19 1.59 1.57 1.57 1.58 1.55 1.58 1.59 1.63 1.73 1.82 2.15 2.31 11/15/19 1.59 1.56 1.57 1.59 1.54 1.61 1.61 1.65 1.75 1.84 2.16 2.31 11/18/19 1.59 1.57 1.57 1.58 1.54 1.60 1.59 1.63 1.73 1.81 2.14 2.30 11/19/19 1.58 1.57 1.57 1.58 1.54 1.60 1.59 1.63 1.71 1.79 2.11 2.26 11/20/19 1.57 1.56 1.57 1.58 1.54 1.56 1.55 1.58 1.66 1.73 2.05 2.20Problem 2 Establish Vasicek term structure model 1. Based on the yield rates on Nov.15, 2019, let us develop another yield curve model applying the Nelson-Siegel parsimonious approximation specified as below. i (t ) = -[in(A(t) - B(t) x ro] where: A(t ) = e( (B (t)-1)(624- ) 12 03 B3 (t) ) Ak B(t) = 1-e-at K http : //www.treasury.gov/resource - center/data -chart -center/interest- rates/Pages/TextView.aspx?data = yield (a) Find out three parameters including &, A, and o solving the below equation: 30 30 min E(r(t) - +(t))2 = Ce? t= 1 t=1 (b) Estimate 0.5 year, 1.5 year, 2.5 year, 3.5 year, ..., 29.5 year, and 30 year yield rates. (c) Plot two series of graphs in a figure displaying the original yield rates and the estimated yield rates over the entire time horizon