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/interestrates/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
9/28/19
90
9/29/19
95
9/29/20
00
9/30/20
05
9/30/20
10
9/30/20
11
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.
Alternatively, you can plot by hand.)
(b.)
(12) Look at the 6 yield curves above.
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 Fall '08
 WHITNEY
 Inflation, Interest Rates, Yield Curve

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