Calculate the mean and standard deviation of 1-year and 20-year Treasury Constant Maturity Rates data series. Using the graphs and the results from the calculations above, analyse the interest rate risk that bondholders of 1- and 20-year bonds were exposed to over the 10-year period and discuss the various methodologies to hedge this type of risk.
|
|
GS1
|
GS20
|
|
Mean
|
|
2,16
|
4,69
|
|
Standard deviation
|
1,642431
|
0,584407
|
Attachment:- Data.xls