| | Date of lookup data: | March 1st, 2019 | | |
Money Market Rates, etc. | | U.S. Treasurys [†,1] |
Security | | Yield | | T-Bill, Note, Bond | Yield |
1-month Euro LIBOR | -0.41% | | 1-month T-Bill | 2.44% |
1-month U.S T-Bill | 2.39% | | 2-month T-Bill | 2.46% |
1-month LIBOR | | 2.48% | | 3-month T-Bill | 2.44% |
Federal Funds | | 2.40% | | 6-month T-Bill | 2.52% |
Federal Reserve Discount Rate | 1.00% | | 1-Year T-Bill | 2.55% |
Negotiable CDs | | 2.69% | | 2-Year T-Note | 2.55% |
U.S Commercial Paper | 2.40% | | 3-Year T-Note | 2.54% |
Overnight Repos | | 2.40% | | 5-Year T-Note | 2.56% |
Banker's Acceptance | 6.62% | | 7-Year T-Note | 2.67% |
Eurodollar Deposits | 2.84% | | 10-Year T-Note | 2.76% |
Euro CP | | data … | | 20-Year T-Bond | 2.97% |
Eurozone Prime Rate | | 0.00% | | 30-Year T-Bond | 3.13% |
U.S. Prime Rate | | 5.50% | | | |
from previous question, copy over the following U.S TreasuryYields. Specify the maturity in months
Using the looked-up U.S Treasury Yields from the previousquestion, plot its Yield Curve. Hint: you might want to use Excel'sChart Wizard, using the XY (scatter plot) option. which is a resultof Treasury prices transacted in the market. These prices are"bootstrapped" to derive its. Spot Rates z1, z2, z10, …, z30.
Maturity(months) | 1 | 2 | 3 | 6 | 12 | 24 | 36 | 60 | 84 | 120 | 240 | 360 |
Yield | fill in data | fill in data | fill in data | fill in data | fill in data | fill in data | fill in data | fill in data | fill in data | fill in data | fill in data | fill in data |
| z1mth | z2mth | z3mth | z6mth | z1 | z2 | z3 | z5 | z7 | z10 | z20 | z30 |