4

Instrument Maturity Price Price 1 New R (Price1 -Price)^2 Mean

1 0.083333 99.8351 99.7860498382 0.0260346555 0.0024059184 0.005123
2 0.166667 99.6217 99.511149032 0.0298395209 0.0122215165 0.012423
3 0.25 99.3846 99.2066966448 0.0323715898 0.0316496038 0.021757
4 0.5 98.5808 98.3458752754 0.0339218186 0.0551896262 0.060658
5 0.75 97.6653 97.8771720091 0.029022292 0.0448897483 0.113532
6 1 96.7118 98.0252842753 0.020144963 1.7252409416 0.177792
7 1.252055 100.7816 98.8998989642 0.0088741961 3.540798788 0.251968
8 1.49863 99.8218 100.495700101 -0.0032940795 0.4541413461 0.331968
9 2 100.0656 100 0.00430336 0.511975
10 4 100.5249 1.348706
11 6 101.5749 2.248603
12 10 101.2089 4.07536
13 20 103.5339 8.650973
14 30 104.8289 13.22673

5.8708408488

c
15 1.838356 31.5640235308 3.75% 0.8724983529

d 140 bp
16 3.084932 14.6514293271 0.8637397128 154.6514293271

c) They have similar shape and results but the second one have decline faster than the first one
 Variance B(0,T)
0.000256 0.995017 a 0.818649
0.001944 0.988614 ro 0.047816
0.006244 0.981538 r' 0.1
0.043209 0.961699 1.1806
0.126825 0.951116 1
0.262813 0.954674 r'* 0.457575
0.452768 0.974741
0.686669 1.011432
1.289009 1.141713
4.698695 2.720027
8.7051 8.198464
16.98817 82.99058
37.78421 28032.83
58.58166 9474396

b) New R
0.04
0.035
0.03
0.025
0.02
0.015 New R
0.01
0.005
0
-0.005
than the first one
-0.01
 B0 0.01
B1 0.01
B2 0.01
Tau 1

New R