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Consider the following table with Treasury Yield Rates: Time to Maturity Yield Rate (continuously compounded) 3 months 0.14% 6 months 0.19% 1 year 2 years 3 years 0.25% 0.51% 0.75% 5 years 7 years 10 years 30 years 1.41% 2.02% 2.57% 3.63% Use the data provided to build the yield curve using the cubic spline model.

Consider the following table with Treasury Yield Rates: Time to Maturity Yield Rate (continuously compounded) 3 months 0.14% 6 months 0.19% 1 year 2 years 3 years 0.25% 0.51% 0.75% 5 years 7 years 10 years 30 years 1.41% 2.02% 2.57% 3.63% Use the data provided to build the yield curve using the cubic spline model.

MATLAB: An Introduction with Applications
MATLAB: An Introduction with Applications
6th Edition
ISBN:9781119256830
Author:Amos Gilat
Publisher:Amos Gilat
Chapter1: Starting With Matlab
Section: Chapter Questions
Problem 1P
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Problem 3 Consider the following table with Treasury Yield Rates: Time to Maturity Yield Rate (continuously compounded) 3 months 0.14% 6 months 0.19% 1 year 2 years 0.25% 0.51% 3 years 0.75% 5 years 7 years 10 years 1.41% 2.02% 2.57% 30 years 3.63% Use the data provided to build the yield curve using the cubic spline model. п-1 R(0, t) = a + b(t – t,) + c(t – t,)² + dr(t – tx)? where (t, – tx)+ = max{t – tg, 0}
Transcribed Image Text:Problem 3 Consider the following table with Treasury Yield Rates: Time to Maturity Yield Rate (continuously compounded) 3 months 0.14% 6 months 0.19% 1 year 2 years 0.25% 0.51% 3 years 0.75% 5 years 7 years 10 years 1.41% 2.02% 2.57% 30 years 3.63% Use the data provided to build the yield curve using the cubic spline model. п-1 R(0, t) = a + b(t – t,) + c(t – t,)² + dr(t – tx)? where (t, – tx)+ = max{t – tg, 0}
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