are171-homework-1

are171-homework-1 - ARE 171A Fall 2010 M. Whitney HOMEWORK...

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ARE 171A M. Whitney Fall 2010 HOMEWORK ASSIGNMENT 1 Due Wednesday, Oct. 13th, in class 1. (32) Data on nominal yields of US Treasury securities can be found at: http://www.ustreas.gov/offices/domestic-finance/debt-management/interest-rate/yield.html (a) (10 pts) In this problem you will diagram and discuss how the Treasury yield curve changes over time. For each date below, find the nominal rates that were in effect at that time. (To view older dates, go to the page above, then click "historical data"). You can either copy the values down by hand, or copy and paste using the computer. 10/01/2010 (our recent market conditions). ..data shown below Date 1 mo 3 mo 6 mo 1 yr 2 yr 3 yr 5 yr 7 yr 10 yr 20 yr 30 yr 10/01/10 0.15 0.16 0.19 0.26 0.42 0.63 1.26 1.90 2.54 3.40 3.71 10/01/2008 (2 years ago) 10/01/2007 (3 years ago) 10/02/2000 (10 years ago) 10/01/1990 (20 years ago) After showing your data above, plot the yield curve for each of these 5 time periods, showing % yield on the Y axis, and time to maturity on the X axis. You will have 5 yield curves, all on one common graph. Make the plot a full page in size, so you have room to see differences in the curves clearly. (Note that to keep the curve proportional using a graphing program, you need to use an "X-Y" graph format, where X is years, then enter .25
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are171-homework-1 - ARE 171A Fall 2010 M. Whitney HOMEWORK...

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