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MATLAB program to extract Treasury from Swap

Pull the swap curve from Yahoo server (freely available) or from other website into MATLAB. Convert it on various treasury rates for 1,3,5,10,30 or other format using MATLAB functions. Get the dates of the fed meetings and last few changes in rates.

Answer the below questions (total word limits 3-4 pages for all questions):

How did the rates change before and after the last meeting? Can we predict the rate change just before the Fed meeting day and compare it last meeting to find out the change? Did the swap rate already priced the changes fed was about to announce? Whether they will increase or decrease their benchmark rate and by what level?

Background: We prefer swaps as they much more liquid and demand supply mechanism keep them more realistic than the treasury, and also removes the interpolation problems with the treasury curve. We want to find out if the rates are already pricing the change.

Note: Assume suitable numbers where required.

Reference:

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Write about bootstrapping and interpolation techniques used in 300 words which can be used in MATLAB.
Answer the questions in 3-4 pages for all questions, minimum 2000 words and 20 references.

Using Swap Rates predict the outcome for Fed meeting

Comment on methodology and review the steps – no need to program
Data needed swap rates at different time periods:
Pull the swap curve from Yahoo server (freely available) or from other website into MATLAB.
Pull LIBOR for 1 year
Convert it on various treasury rates for 1-10 or other format using MATLAB functions.
Get the dates of the fed meetings and last few changes in rates.
Answer the below questions (total word limits 3-4 pages for all questions, around 500 words per question and 20 references):
How did the rates change before and after the last meeting?
Can we predict the rate change just before the Fed meeting day and compare it last meeting to find out the change? Can we use the swap curve we plan to built? Did the swap rate already priced the changes fed was about to announce?
Whether they will increase or decrease their benchmark rate and by what level?
Which rates do the Fed effect and are the shift parallel after the rate change?
Background: We prefer swaps as they much more liquid and demand supply mechanism keep them more realistic than the treasury, and also removes the interpolation problems with the treasury curve. We want to find out if the rates are already pricing the change of policy.

Note: Assume suitable illustrative numbers where required.
Reference:
http://www.mathworks.in/discovery/swap-curve.html
http://en.wikipedia.org/wiki/Swap_rate
http://www.swap-rates.com/USSwap.html
http://money.stackexchange.com/questions/16046/what-are-libor-swap-rates
http://www.bloomberg.com/news/2014-05-29/brazilian-swap-rates-slide-to-four-month-low-after-central-bank.html
http://www.mathworks.in/help/finance/common-problems-in-finance.html#f10-19473
http://quant.stackexchange.com/questions/3438/why-use-swap-rates-in-a-yield-curve
http://www.yieldcurve.com/mktresearch/learningcurve/choudhry_zspread_aug2005_logo.pdf
http://www.wilmott.com/messageview.cfm?catid=8&threadid=94023
http://blogs.wsj.com/economics/2014/06/03/grand-central-predicting-timing-of-boe-rate-hikes-about-to-get-murkier/

Færdigheder: Økonomiske Markeder, Matlab and Mathematica

Se mere: mathworks, how to find problems, answer financial, rate change, matlab program, matlab find, interpolation, financial program, html financial, word extract, matlab html, website matlab program website, financial functions, convert wiki html, curve matlab, matlab word, benchmark functions matlab, liquid level, matlab convert matlab, convert mathematica html, extract pages, wikipedia convert, convert mathematica, convert html liquid, program background

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( 0 bedømmelser ) Indore, India

Projekt-ID: #6025810

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quantinvest

Hi, I'm an economist with strong background of quantitative skill and finance. I'm currently the TA for Pricing and Managing Fixed-Income Securities which is an elective for a Master of Finance Program. I'm also a CQF( Mere

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