Termstru for part d.xls - Australian government bond yield...

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0.00 5.00 10.00 15.00 20.00 25.00 30.00 0.00% 0.50% 1.00% 1.50% 2.00% 2.50% 3.00% Australian government bond yield curve Coupon Zero- Coupon Maturity in years Yields
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Termstru.xls Page 2 Term Structure of Interest Rates (Smoothing) Sum of Abs. a1 a2 a3 a4 tmin or tmax Errors(yield) SSE(price) Total Absolute Error initial values: -1.00% -0.0005361582 0.0359075258 2.29% 27.84931507 0.013297738 1.2992754278 4.61017 final estimates: -2.1347% 0.0286% 2.9908% 3.0388% Note: this spreadsheet uses semi-annual compounding. Estimated Estimated Absolute Absolute Next Settlement Yield with Yield: 1-year Estimated Yield with Error Error Error coupon date Coupon Maturity Year Coupon Price Zero-Coupon Forwards price coupon (yield) (price) (price) date (yrs) 5/22/2019 T Coupon yield Zero 1 2.75% 10/21/2019 0.42 1.293% 100.83383459 0.94% 1.07% 100.9800401 0.94% 0.003508328 -0.146205483 0.146205 0.415301 2 4.50% 4/15/2020 0.90 1.267% 103.33438975 0.99% 1.15% 103.5917833 0.99% 0.00281707 -0.257393507 0.257394 0.398907 3 1.75% 11/21/2020 1.50 1.230% 100.77386132 1.04% 1.25% 101.0598655 1.04% 0.001920087 -0.286004167 0.286004 0.497283 4 5.75% 5/15/2021 1.98 1.197% 108.99610602 1.08% 1.33% 109.2431304 1.08% 0.001196569 -0.247024361 0.247024 0.480978 5 2.00% 12/21/2021 2.59 1.168% 102.94519116 1.13% 1.43% 103.0447968 1.13% 0.000387475 -0.099605651 0.099606 0.082418 6 5.75% 7/15/2022 3.15 1.180% 116.10234018 1.18% 1.51% 116.1338022 1.17% 9.42343E-05 -0.031462057 0.031462 0.149171 7 2.25% 11/21/2022 3.50 1.191% 103.62310894 1.21% 1.56% 103.583134 1.20% 0.000114667 0.0399749207 0.039975 0.497283 8 5.50% 4/21/2023 3.92 1.196% 116.87979015 1.24% 1.62% 116.741968 1.23% 0.00033053 0.1378221483 0.137822 0.415301 9 2.75% 4/21/2024 4.92 1.264% 107.29257542 1.32% 1.76% 107.0717929 1.31% 0.000447468 0.2207824983 0.220782 0.415301 10 3.25% 4/21/2025 5.92 1.358% 110.99362208 1.39% 1.89% 110.8733557 1.38% 0.000200455 0.1202663963 0.120266 0.415301 11 4.25% 4/21/2026 6.92 1.442% 118.77721521 1.46% 2.01% 118.7879498 1.44% 1.48515E-05 -0.01073456 0.010735 0.415301 12 4.75% 4/21/2027 7.92 1.519% 124.41205717 1.53% 2.13% 124.5672832 1.50% 0.000184302 -0.155226059 0.155226 0.415301 13 2.75% 11/21/2027 8.51 1.566% 109.3932637 1.57% 2.19% 109.5359854 1.55% 0.000171055 -0.142721722 0.142722 0.497283 14 2.25% 5/21/2028 9.01 1.604% 105.39832789 1.60% 2.24% 105.5763054 1.58% 0.000206866 -0.17797749 0.177977 0.497283 15 2.75% 11/21/2028 9.51 1.626% 109.86198876 1.64% 2.29% 110.020779 1.61% 0.000171633 -0.158790216 0.15879 0.497283 16 3.25% 4/21/2029 9.92 1.633% 115.02129854 1.66% 2.33% 115.0661489 1.63% 4.54639E-05 -0.044850346 0.04485 0.415301 17 2.75% 11/21/2029 10.51 1.654% 110.52927826 1.70% 2.39% 110.4080859 1.67% 0.000119378 0.1211923604 0.121192 0.497283
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Termstru.xls Page 3 18 2.50% 5/21/2030 11.01 1.674% 108.27195805 1.73% 2.43% 108.0395879 1.70% 0.000222341 0.2323701904 0.23237 0.497283 19 4.50%
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