Problem 3 Consider the following table with Treasury Yield Rates: Time to Maturity 3 months 6 months 1 year 2 years 3 years 5 years 7 years 10 years 30 years Yield Rate (continuously compounded) 0.14% 0.19% 0.25% 0.51% 0.75% 1.41% 2.02% 2.57% 3.63% Use the data provided to build the yield curve using the cubic spline model. n-1 R(0,t) = a + b(t t) + c(t t)2 dk(t to k=1 where (t - tre)+ = max{t tk,0} Problem 3 Consider the following table with Treasury Yield Rates: Time to Maturity 3 months 6 months 1 year 2 years 3 years 5 years 7 years 10 years 30 years Yield Rate (continuously compounded) 0.14% 0.19% 0.25% 0.51% 0.75% 1.41% 2.02% 2.57% 3.63% Use the data provided to build the yield curve using the cubic spline model. n-1 R(0,t) = a + b(t t) + c(t t)2 dk(t to k=1 where (t - tre)+ = max{t tk,0}