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i am stuck in this answer me quickly please Exercise 1.1 - Term Structure Construction For the Treasury curve with the data given below. Tenor
i am stuck in this answer me quickly please
Exercise 1.1 - Term Structure Construction For the Treasury curve with the data given below. Tenor 1 2 3 5 7 10 20 30 Nm N918 Price 100 100 100 100 100 100 100 100 Coupon Con Freq 0.21% 2 0.23% 2 0.28% 2 0.48% 2 0.71% 2 0.97% 2 1.36% 2 1.45% 2 a) Estimate the forward rates assuming they are piecewise constant. b) Estimate the forward rates assuming they are piecewise linear. Ending forward rate for interval equals the starting forward rate for next interval. Functional form of the forward rates are given below 35 Years 10-1 1-2 2-3 35 5-7 7-10 10-20 20-30 Constant Beg/End FWD1 FWD2 FWD3 FWD FWDS FWD6 FWD FWD8 Years 0-1 1-2 2-3 5-7 7-10 10-20 20-30 Linear Begin FWD1 FWD1 FWD2 PWD3 FWD4 FWDS FWD6FWD7 Linear End FWD1 FWD2 FWD FWD4 FWDS FWD6 FWD7 FWDB Can use excel with the solver function for this exercise. Exercise 1.1 - Term Structure Construction For the Treasury curve with the data given below. Tenor 1 2 3 5 7 10 20 30 Nm N918 Price 100 100 100 100 100 100 100 100 Coupon Con Freq 0.21% 2 0.23% 2 0.28% 2 0.48% 2 0.71% 2 0.97% 2 1.36% 2 1.45% 2 a) Estimate the forward rates assuming they are piecewise constant. b) Estimate the forward rates assuming they are piecewise linear. Ending forward rate for interval equals the starting forward rate for next interval. Functional form of the forward rates are given below 35 Years 10-1 1-2 2-3 35 5-7 7-10 10-20 20-30 Constant Beg/End FWD1 FWD2 FWD3 FWD FWDS FWD6 FWD FWD8 Years 0-1 1-2 2-3 5-7 7-10 10-20 20-30 Linear Begin FWD1 FWD1 FWD2 PWD3 FWD4 FWDS FWD6FWD7 Linear End FWD1 FWD2 FWD FWD4 FWDS FWD6 FWD7 FWDB Can use excel with the solver function for this exerciseStep by Step Solution
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