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Term to maturity 01/02/2008 01/02/2009 03/27/2020 02/01/2021 0.5 year 3.32 0.28 0.02 0.08 1 year 3.17 0.40 0.11 0.08 2 years 2.88 0.88 0.25 0.11
Term to maturity | 01/02/2008 | 01/02/2009 | 03/27/2020 | 02/01/2021 |
0.5 year | 3.32 | 0.28 | 0.02 | 0.08 |
1 year | 3.17 | 0.40 | 0.11 | 0.08 |
2 years | 2.88 | 0.88 | 0.25 | 0.11 |
3 years | 2.89 | 1.14 | 0.30 | 0.17 |
5 years | 3.28 | 1.72 | 0.41 | 0.42 |
7 years | 3.54 | 2.07 | 0.60 | 0.76 |
10 years | 3.91 | 2.46 | 0.72 | 1.09 |
20 years | 4.39 | 3.22 | 1.09 | 1.66 |
30 years | 4.35 | 2.83 | 1.29 | 1.84 |
For each date listed below, report the 1-year spot rate (0i1), the forward rate for year one to two (1r2), and the forward rate for year two to three (2r3).
| 01/02/2008 | 01/02/2009 | 03/27/2020 | 02/01/2021 |
0i1 | 3.17% | 0.40% |
|
|
1r2 | 2.59% | 1.36% |
|
|
2r3 | 2.91% | 1.66% |
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