Investment Management: The Term Structure of Interest Rate
NORTHCENTRAL UNIVERSITY
ASSIGNMENT COVER SHEET
Student: ODEDOYIN ABEL
THIS FORM MUST BE COMPLETELY FILLED IN
Follow these procedures: If requested by your instructor, please include an assignment cover sheet. This will become the first page of your assignment. In addition, your assignment header should include your last name, first initial, course code, dash, and assignment number. This should be left justified, with the page number right justified. For example:
Student: ODEDOYIN A FIN 5013-8 ACTIVITY 3
Save a copy of your assignments: You may need to re-submit an assignment at your instructor’s request. Make sure you save your files in accessible location.
Academic integrity: All work submitted in each course must be your own original work. This includes all assignments, exams, term papers, and other projects required by your instructor. Knowingly submitting another person’s work as your own, without properly citing the source of the work, is considered plagiarism. This will result in an unsatisfactory grade for the work submitted or for the entire course. It may also result in academic dismissal from the University.
FIN 5013-8 TIPPINS,STEVEN
INVESTMENT MANAGEMENT ACTIVITY 3
Faculty Use Only
INTRODUCTION In contrast to the asset price world, there is no commonly accepted model for the movement of the underlying in the interest rate world. Consequently, there are a number of different approaches to the pricing of fixed-income products. The simplest approach is to price a product of the term structure of interest rates which also known as yield curve. This method is effective for simple contracts, for instance bonds. Hiriyappa (2008)., This paper develops a technique of fitting a yield curve called “the
ASSIGNMENT COVER SHEET
Student: ODEDOYIN ABEL
THIS FORM MUST BE COMPLETELY FILLED IN
Follow these procedures: If requested by your instructor, please include an assignment cover sheet. This will become the first page of your assignment. In addition, your assignment header should include your last name, first initial, course code, dash, and assignment number. This should be left justified, with the page number right justified. For example:
Student: ODEDOYIN A FIN 5013-8 ACTIVITY 3
Save a copy of your assignments: You may need to re-submit an assignment at your instructor’s request. Make sure you save your files in accessible location.
Academic integrity: All work submitted in each course must be your own original work. This includes all assignments, exams, term papers, and other projects required by your instructor. Knowingly submitting another person’s work as your own, without properly citing the source of the work, is considered plagiarism. This will result in an unsatisfactory grade for the work submitted or for the entire course. It may also result in academic dismissal from the University.
FIN 5013-8 TIPPINS,STEVEN
INVESTMENT MANAGEMENT ACTIVITY 3
Faculty Use Only
INTRODUCTION In contrast to the asset price world, there is no commonly accepted model for the movement of the underlying in the interest rate world. Consequently, there are a number of different approaches to the pricing of fixed-income products. The simplest approach is to price a product of the term structure of interest rates which also known as yield curve. This method is effective for simple contracts, for instance bonds. Hiriyappa (2008)., This paper develops a technique of fitting a yield curve called “the