This preview shows pages 1–2. Sign up to view the full content.
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/resourcecenter/datachartcenter/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 onemonth 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 "XY"
graph format, where X is years, then enter .25 for 3 months, .5 for six months, etc.
This preview has intentionally blurred sections. Sign up to view the full version.
View Full Document
This is the end of the preview. Sign up
to
access the rest of the document.
 Fall '08
 WHITNEY

Click to edit the document details