09a_zero_yield_curve_spreadsheet_1_

09a_zero_yield_curve_spreadsheet_1_ - zero yield...

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PV prices 1yrcoupon 2yrcoupn 3 yr 4 yr 5 yr pi1 0.99 101 2 3 4 5 8 pi2 0.96 0 102 3 4 5 8 pi3 0.92 0 0 103 4 5 8 pi4 0.85 0 0 0 104 5 8 pi5 0.78 0 0 0 0 105 108 prices 100.1 100.2 100.3 100.4 100.5 99 PV(pi) 100.1 100.2 100.3 100.4 100.5 zero yield 0.01 0.02 0.03 0.04 0.05 error 0 0 0 0 0 error sq 0 0 0 0 0 error min 0 disc d 0.99 0.98 0.97 0.96 0.95 1 PV(d) 100.1 100.2 100.3 100.4 100.5 140 pv(D)-price 0 0 0 0 0 41 error ^ 2 0 0 0 0 0 1681 yield 0.01 0.02 0.03 0.04 0.05 0 0 forwards 0.01 0.03 0.05 0.07 0.1 note: PV(pi) is calculated according to the sum of pis multiplied by cash flows of bonds. This is obtained by multiplying first column B6-B10 by corresponding columns C,D,E,F,G. note: PV(d) is calculated according to the sum of d^t * c(t) over t, where c(t) is cash flow of bond at time t. Solver is used to find pi or d that makes PV equal to the price. Note that forwards rise faster than coupon yields or zero yields.
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x 2 y 1 z 2 X+y-z-2 -1 x-y-z -1 2
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PV prices 1yrcoupon 2yrcoupn 3 yr 4 yr 5 yr pi1 1 101 2 3 4 5 8 pi2 1 0 102 3 4 5 8 pi3 1 0 0 103 4 5 8 pi4 1 0 0 0 104 5 8 pi5 1 0 0 0 0 105 108 prices 100.1 100.2 100.3 100.4 100.5 99 PV(pi) 101 104 109 116 125
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Unformatted text preview: zero yield error-0.9-3.8-8.7-15.6-24.5 error sq 0.81 14.44 75.69 243.36 600.25 error min 934.55 disc d 1 1 1 1 1 1 PV(d) 101 104 109 116 125 140 pv(D)-price 0.9 3.8 8.7 15.6 24.5 41 error ^ 2 0.81 14.44 75.69 243.36 600.25 1681 yield 934.55 forwards note: PV(pi) is calculated according to the sum of pis multiplied by cash flows of bonds. This is obtained by multiplying first column B6-B10 by corresponding columns C,D,E,F,G. note: PV(d) is calculated according to the sum of d^t * c(t) over t, where c(t) is cash flow of bond at time t. Solver is used to find pi or d that makes PV equal to the price. Note that forwards rise faster than coupon yields or zero yields....
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This note was uploaded on 12/08/2009 for the course ECON 251 at Yale.

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09a_zero_yield_curve_spreadsheet_1_ - zero yield...

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