Question
September 2010 Date 1 mo 3 mo 6 mo 1 yr 2 yr 3 yr 5 yr 7 yr 10 yr 20 yr 30 yr
September 2010
| Date | 1 mo | 3 mo | 6 mo | 1 yr | 2 yr | 3 yr | 5 yr | 7 yr | 10 yr | 20 yr | 30 yr |
| 09/29/10 | 0.12 | 0.16 | 0.20 | 0.27 | 0.44 | 0.67 | 1.28 | 1.91 | 2.52 | 3.38 | 3.69 |
January 2012
| Date | 1 mo | 3 mo | 6 mo | 1 yr | 2 yr | 3 yr | 5 yr | 7 yr | 10 yr | 20 yr | 30 yr |
| 01/13/12 | 0.02 | 0.03 | 0.06 | 0.10 | 0.24 | 0.34 | 0.80 | 1.32 | 1.89 | 2.59 | 2.91 |
- Draw (roughly) the two yield curves on the same graph reflective of 2010 and 2012 label each. What do you observe, how has the yield curve changed since 2010 to 2012? What might the change imply?
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Professionals Handbook Of Financial Risk Management
Authors: Lev Borodovsky, Marc Lore
1st Edition
0750641118, 978-0750641111
