1. 1) The term structure of interest rates (30 p) Date 31.10.2008 30.09.2019 1 year yield...
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1. 1) The term structure of interest rates (30 p) Date 31.10.2008 30.09.2019 1 year yield 0,9738 1,7897 2 year yield 1,4104 1,656 3 year yield 2,0107 1,5498 4 year yield 2,5805 1,4988 5 year yield 3,0791 1,4981 6 year yield 3,506 1,5365 7 year yield 3,8702 1,6037 8 year yield 4,1821 1,6914 9 year yield 4,4507 1,7931 10 year yield 4,6838 1,9041 1. Use the zero coupon yields for US Treasuries in the above table to calculate implied one year forward rates on October 31, 2008 and on September 30, 2019. Based on your calculations and the theories on the term structure of interest rates, what can you say about future expected one year rates on the two dates? Explain in max. 150 words. Use a graph to illustrate your results. Show all your calculations behind your answer (graph and calculations are not included in word count). 1. 1) The term structure of interest rates (30 p) Date 31.10.2008 30.09.2019 1 year yield 0,9738 1,7897 2 year yield 1,4104 1,656 3 year yield 2,0107 1,5498 4 year yield 2,5805 1,4988 5 year yield 3,0791 1,4981 6 year yield 3,506 1,5365 7 year yield 3,8702 1,6037 8 year yield 4,1821 1,6914 9 year yield 4,4507 1,7931 10 year yield 4,6838 1,9041 1. Use the zero coupon yields for US Treasuries in the above table to calculate implied one year forward rates on October 31, 2008 and on September 30, 2019. Based on your calculations and the theories on the term structure of interest rates, what can you say about future expected one year rates on the two dates? Explain in max. 150 words. Use a graph to illustrate your results. Show all your calculations behind your answer (graph and calculations are not included in word count).
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Implied Forward Rates and Expectations Calculations Implied Forward Rate Oct 31 2008 Forward rate 16... View the full answer
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