PFA1) Use the Excel template provided and build the cubic spline model and the
Nelson-Siegel term structure model.
2) Report 0.5 year, 1 year, 1.5 year, 2 year, 2.5 year, 3 year, …, 10 year predicted
spot rates from the cubic spline model.
3) Report 0.5 year, 1 year, 1.5 year, 2 year, 2.5 year, 3 year, …, 10 year predicted
spot rates from the Nelson-Siegel model.
4) Compute a 3%-10 year semi-annual coupon bond prices (as of 10/17/2018)
based on the cubic spline model.
5) Compute a 3%-10 year semi-annual coupon bond prices (as of 10/17/2018)
based on the cubic spline model.
6) Compare two bond prices and provide your findings
Categories: Finance