171ahw1_f11 - ARE 171A M Whitney Fall 2011 HOMEWORK...

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ARE 171A M. Whitney Fall 2011 HOMEWORK ASSIGNMENT 1 Due Wednesday, Oct. 12th, in class 1. (32) Data on nominal yields of US Treasury securities can be found at: http://www.treasury.gov/resource-center/data-chart-center/interest- rates/Pages/TextView.aspx?data=yield a. Fill in the chart below (easiest if you use a spreadsheet): 1 mo 3 mo 6 mo 1 yr 2 yrs 3 yrs 5 yrs 7 yrs 10 yrs 20 yrs 30 yrs 9/28/1990 9/29/1995 9/29/2000 9/30/2005 9/30/2010 9/30/2011 You can leave blank cells for which bonds were not available on certain dates. After showing your data above, plot the yield curve for each of these 6 dates, showing % yield on the Y axis, and time to maturity on the X axis. Omit the one-month maturity since it was only available in the recent years.You will have 6 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 for 3 months, .5 for six months, etc.
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This note was uploaded on 02/27/2012 for the course ARE 171A taught by Professor Whitney during the Fall '08 term at UC Davis.

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171ahw1_f11 - ARE 171A M Whitney Fall 2011 HOMEWORK...

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