For the Zero-Coupon tab,

1.Calculate the series of one-year forward rates for each year between 2006 - 2020, i.e., 2f1, 3f1, 4f1, 5f1, 6f1, 7f1, 8f1, 9f1, 10f1.

2.Plot the series of one-year forward rates and display them on one graph.

3.Indicate for each forward-rate curve, the expected direction of future short-term rates, i.e., Increasing, Decreasing, Constant.

It would not allow me to upload an excel sheet, please use the photo for data and upload an excel when completed if possible.

Transcribed Image Text:

DATE 1-yr 2-yr 3-yr 4-yr 5-yr 6-yr 7-yr 8-yr 9-yr 10-yr 2006 4.9231 4.7957 4.6903 4.6210 4.5874 4.5840 4.6042 4.6421 4.6928 4.7526 2007 3.1683 3.1343 3.2193 3.3557 3.5111 3.6703 3.8266 3.9770 4.1206 4.2573 2008 0.3115 0.6146 0.9580 1.2935 1.6039 1.8857 2.1404 2.3715 2.5823 2.7760 2009 0.4964 1.1043 1.6944 2.2224 2.6805 3.0746 3.4143 3.7095 3.9685 4.1983 2010 0.2483 0.6349 1.1180 1.5969 2.0350 2.4235 2.7648 3.0651 3.3308 3.5679 2011 0.0759 0.2384 0.4656 0.7094 0.9492 1.1772 1.3915 1.5922 1.7805 1.9576 2012 0.1162 0.2424 0.4248 0.6261 0.8295 1.0277 1.2180 1.3998 1.5731 1.7384 2013 0.1253 0.4498 0.8854 1.3285 1.7399 2.1087 2.4355 2.7251 2.9831 3.2147 2014 0.3842 0.7874 1.0887 1.3327 1.5432 1.7328 1.9082 2.0732 2.2300 2.3797 2015 0.7370 1.1430 1.4043 1.5966 1.7566 1.9014 2.0390 2.1725 2.3033 2.4315 2016 0.8896 1.2607 1.5225 1.7286 1.9058 2.0671 2.2190 2.3644 2.5046 2.6404 2017 1.7297 1.9391 2.0300 2.0823 2.1300 2.1857 2.2524 2.3294 2.4146 2.5058 2018 2.5447 2.5638 2.5317 2.5016 2.4917 2.5057 2.5412 2.5940 2.6600 2.7356 2019 1.6348 1.6539 1.6406 1.6353 1.6508 1.6885 1.7454 1.8174 1.9007 1.9918 2020 0.1074 0.1400 0.1936 0.2690 0.3628 0.4706 0.5883 0.7126 0.8406 0.9704 DATE 1-yr 2-yr 3-yr 4-yr 5-yr 6-yr 7-yr 8-yr 9-yr 10-yr 2006 4.9231 4.7957 4.6903 4.6210 4.5874 4.5840 4.6042 4.6421 4.6928 4.7526 2007 3.1683 3.1343 3.2193 3.3557 3.5111 3.6703 3.8266 3.9770 4.1206 4.2573 2008 0.3115 0.6146 0.9580 1.2935 1.6039 1.8857 2.1404 2.3715 2.5823 2.7760 2009 0.4964 1.1043 1.6944 2.2224 2.6805 3.0746 3.4143 3.7095 3.9685 4.1983 2010 0.2483 0.6349 1.1180 1.5969 2.0350 2.4235 2.7648 3.0651 3.3308 3.5679 2011 0.0759 0.2384 0.4656 0.7094 0.9492 1.1772 1.3915 1.5922 1.7805 1.9576 2012 0.1162 0.2424 0.4248 0.6261 0.8295 1.0277 1.2180 1.3998 1.5731 1.7384 2013 0.1253 0.4498 0.8854 1.3285 1.7399 2.1087 2.4355 2.7251 2.9831 3.2147 2014 0.3842 0.7874 1.0887 1.3327 1.5432 1.7328 1.9082 2.0732 2.2300 2.3797 2015 0.7370 1.1430 1.4043 1.5966 1.7566 1.9014 2.0390 2.1725 2.3033 2.4315 2016 0.8896 1.2607 1.5225 1.7286 1.9058 2.0671 2.2190 2.3644 2.5046 2.6404 2017 1.7297 1.9391 2.0300 2.0823 2.1300 2.1857 2.2524 2.3294 2.4146 2.5058 2018 2.5447 2.5638 2.5317 2.5016 2.4917 2.5057 2.5412 2.5940 2.6600 2.7356 2019 1.6348 1.6539 1.6406 1.6353 1.6508 1.6885 1.7454 1.8174 1.9007 1.9918 2020 0.1074 0.1400 0.1936 0.2690 0.3628 0.4706 0.5883 0.7126 0.8406 0.9704

Answer rating: 100% (QA)

Calculating OneYear Forward Rates Oneyear forward rates for year n can be calculated using the following formula Forward Rate n 1 Yield n1 1n1 1 Where ... View the full answer