Yield Curve Implied Yields 040510

Yield Curve Implied Yields 040510 - Page 1 of 1 I. Yield...

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Unformatted text preview: Page 1 of 1 I. Yield Curve Calculations Expectations Theory Term-to-Maturity 3-months 6-months 1-year 2-years 3-years 5-years 10-years "Normal" Yield Curve 1.50% 3.00% 4.50% 6.00% 7.50% 9.00% 10.50% semi annual 2.25% 3.00% 3.75% 4.50% 5.25% Calculated Yields to Check Accuracy Implied Calculated 3-month rate in 3 months 4.5222% 6-months 3.0000% 6-month rate in 6 months 6.0218% 1-year 4.5000% 1-year rate in 1 year 7.5110% 2-years 6.0000% 1-year rate in 2 years 10.5328% 3-years 7.5000% 2-year rate in 3 years 11.2704% 5-years 9.0000% 5-year rate in 5 years 12.0108% 10-years 10.5000% Other Implied Implied Calculated 2-year rate in 1 year 9.0165% 7.5000% 3-year rate in 2 years 11.0243% 9.0000% 7-year rate in 3 years 11.7990% 10.5000% 2. Term-to-Maturity 3-months 6-months 1-year 2-years 3-years 5-years 10-years Inverted Yield Curve 15.00% 13.00% 11.00% 9.00% 7.00% 5.00% 3.00% semi annual 5.50% 4.50% 3.50% 2.50% 1.50% Calculated Yields to Check Accuracy Implied Calculated 3-month rate in 3 months...
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This document was uploaded on 11/02/2011 for the course INVESTMENT 390 at Rutgers.

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