Question: Using the U.S Treasury Yield Curves for September 17, 2021, calculate, using geometric means, the following Implied Forward Rates: US Treasury Yield Curves 9/17/2021 U.S.
Using the U.S Treasury Yield Curves for September 17, 2021, calculate, using geometric means, the following Implied Forward Rates:
US Treasury Yield Curves 9/17/2021
U.S. Treasury Nominal Yield Curve
Date 1 Mo 2 Mo 3 Mo 6 Mo 1 Yr 2 Yr 3 Yr 5 Yr 7 Yr 10 Yr 20 Yr 30 Yr
9/17/21 0.06 0.06 0.04 0.05 0.07 0.23 0.47 0.88 1.17 1.37 1.85 1.91
U.S. Treasury Real Yield Curve
| DATE | 5 YR | 7 YR | 10 YR | 20 YR | 30 YR |
| 9/17/21 | -1.63 | -1.28 | -0.96 | -0.52 | -0.32 |
a. Calculate the Implied Forward nominal interest rate for a one-year maturity government bond, two years from Today.
b. Calculate the Implied Forward nominal interest rate for a two-year maturity government bond, five years from Today
c. Please explain what factors and assumptions, other than the expectation theory, affect the shape of the yield curve and estimated implied forward rates.
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