yield-curve

Hey everyone, I found this question in an old item set and wanted to know if anyone could help explain how to bootstrap the curve in excel. I have my workings in an excel file for anyone that’s interested. But I am mostly struggling with questions a and c in this item set: You observe the...

The drawback of yield-based duration and convexity is that implicitly they must assume a parallel shift in the rate curve. While there can be many non-parallel shift, the two most common are twists and butterflies. A twist is when the curve steepens or flattens. A STEEPENING is when either (i)...