Question: Simulation for Rate Risk Decompose the behavior of the yield curve (DatosUSTresuries. csv) in its parallel slope and curvature motion using principal components as indicated

Simulation for Rate Risk

  1. Decompose the behavior of the yield curve (DatosUSTresuries. csv) in its parallel slope and curvature motion using principal components as indicated in the code (PCA statements) and add a paragraph about your observations.
  2. Using the data from the 10-year rate, calculate the rate changes (current rate - previous rate) and with that series and the original calculate the regression:

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