Problems
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Skill-Building Problems.
1. How volatile are short rates versus medium rates versus long rates?
(a.) Get a visual sense of the answer to this question by clicking on the spinner (up/down arrow)
to run through all of the years of US Yield Curve history in the database.
(b.) Calculate the variance of the time series of: (i) one-month yields, (ii) five-year yields, (iii)
fifteen-year yields, and (iv) thirty year yields. Use Excel's VAR function to calculate the variance
of the yields in columns S, Z, AB, and AE in the US Yield Curve Dynamics - Dynamic Chart
spreadsheet.
2. Determine the relationship between the volatility of the yield curve and the level of the yield
curve. Specifically, for each five year time period (70-74, 75-79, 80-84, etc.) calculate the
variance and the average level of the time series of: (i) one-month yields, (ii) five-year yields, (iii)
fifteen-year yields, and (iv) thirty year yields. Use Excel's VAR and AVERAGE functions to
calculate the variance and the average of five-year ranges of the yields in columns S, Z, AB, and
AE in the US Yield Curve Dynamics - Dynamic Chart spreadsheet. For example:
o The 70-74 time series of one-month yields is in the range S11-S70.
o The 75-79 time series of one-month yields is in the range S71-S130.
o The 80-84 time series of one-month yields is in the range S131-S190.
o And so on.
Summarize what you have learned from this analysis.
Live In-class Problems.
8. Given the partial Dynamic Chart spreadsheet YcdyndyZ.xls, complete steps 4 Time To
Maturity and 5 Yield To Maturity.
Skill-Building Problems.
1. How volatile are short rates versus medium rates versus long rates?
(a.) Get a visual sense of the answer to this question by clicking on the spinner (up/down arrow)
to run through all of the years of US Yield Curve history in the database.
(b.) Calculate the variance of the time series of: (i) one-month yields, (ii) five-year yields, (iii)
fifteen-year yields, and (iv) thirty year yields. Use Excel's VAR function to calculate the variance
of the yields in columns S, Z, AB, and AE in the US Yield Curve Dynamics - Dynamic Chart
spreadsheet.
2. Determine the relationship between the volatility of the yield curve and the level of the yield
curve. Specifically, for each five year time period (70-74, 75-79, 80-84, etc.) calculate the
variance and the average level of the time series of: (i) one-month yields, (ii) five-year yields, (iii)
fifteen-year yields, and (iv) thirty year yields. Use Excel's VAR and AVERAGE functions to
calculate the variance and the average of five-year ranges of the yields in columns S, Z, AB, and
AE in the US Yield Curve Dynamics - Dynamic Chart spreadsheet. For example:
o The 70-74 time series of one-month yields is in the range S11-S70.
o The 75-79 time series of one-month yields is in the range S71-S130.
o The 80-84 time series of one-month yields is in the range S131-S190.
o And so on.
Summarize what you have learned from this analysis.
Live In-class Problems.
8. Given the partial Dynamic Chart spreadsheet YcdyndyZ.xls, complete steps 4 Time To
Maturity and 5 Yield To Maturity.