Question: Compute the level factor and the butterfly spread for each term structure in Table 4.7. Which period had the highest slope? Which period had the
Compute the level factor and the butterfly spread for each term structure in Table 4.7.
- Which period had the highest slope?
- Which period had the highest curvature?
- Can you recognize the periods with higher slope or curvature on a graph?
- Which interval saw the greatest change in slope?
- Which interval saw the greatest change in curvature?
| date | 1 month | 3 month | 6 month | 1 year | 2 year | 3 year | 5 year | 7 year | 10 year |
| 9/26/2008 | 0.71% | 1.37% | 2.04% | 2.31% | 2.61% | 2.88% | 3.55% | 3.91% | 4.35% |
| 9/10/2008 | 2.08% | 2.15% | 2.37% | 2.56% | 2.72% | 2.92% | 3.41% | 3.73% | 4.15% |
| 8/25/2008 | 2.16% | 2.24% | 2.46% | 2.62% | 2.83% | 3.12% | 3.54% | 3.86% | 4.29% |
| 8/11/2008 | 2.27% | 2.37% | 2.55% | 2.77% | 3.06% | 3.34% | 3.77% | 4.07% | 4.49% |
| 7/25/2008 | 2.22% | 2.25% | 2.45% | 2.85% | 3.20% | 3.51% | 3.95% | 4.23% | 4.63% |
| 7/10/2008 | 1.98% | 2.17% | 2.51% | 2.70% | 2.94% | 3.22% | 3.60% | 3.90% | 4.33% |
| 6/25/2008 | 1.99% | 2.31% | 2.72% | 2.98% | 3.32% | 3.61% | 4.04% | 4.28% | 4.62% |
| 6/10/2008 | 2.50% | 2.52% | 2.74% | 3.03% | 3.41% | 3.70% | 4.04% | 4.27% | 4.61% |
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