DATOS REALES

Curva de
t
Rendimiento
1 meses 2.01%
3 meses 1.66%
6 meses
1 año
2 años
1.76%
1.72%
1.65%
rˆ(t )  r0  at  bt 2

3 años 1.86%
5 años 2.53%
7 años 3.02%
10 años 3.63%
20 años 4.46%
30 años 4.52%

Ajuste Polinomial Único

a (0.002)
b 0.001
c (0.000)
r0 0.019 7.1E-06

Curva de Polinomio Errores al

t
Rendimiento Cúbico cuadrado
0.1 2.01% 1.85% 2.7E-06
0.3 1.66% 1.81% 2.3E-06
0.5 1.76% 1.77% 5.2E-09
1.0 1.72% 1.72% 1.8E-09
2.0 1.65% 1.73% 7.1E-07
3.0 1.86% 1.89% 6.4E-08
4.0 2.13%
5.0 2.53% 2.44% 8.2E-07
6.0 2.77%
7.0 3.02% 3.09% 4.8E-07
8.0 3.36%
9.0 3.55%
10.0 3.63% 3.61% 2.8E-08
11.0 3.52%
12.0 3.24%
13.0 2.73%
14.0 1.95%
15.0 0.88%
16.0 -0.53%
17.0 -2.32%
18.0 -4.51%
19.0 -7.15%
 20.0 4.46% -10.27%
30.0 4.52% -75.85%
Suma de errores al cuadrado --> 7.1E-06

COMPARATIVE
4.00%
3.50%
3.00%
2.50% ESTIMATE
REAL
2.00%
1.50%
1.00%
0.50%
0.00%
0.1 0.3 0.5 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0
 2 3
 at  bt  ct

Real Yield Curve

4.00%
3.50%
3.00%
2.50%
Column D
2.00%
1.50%
1.00%
0.50%
0.00%
0.1 0.3 0.5 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0

Estimate Yield Curve

4.00%
3.50%
3.00%
2.50%
Column E
2.00%
1.50%
1.00%
0.50%
0.00%
0.1 0.3 0.5 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0
 2.50%
Column E
2.00%
1.50%
1.00%
0.50%
0.00%
0.1 0.3 0.5 1.0 2.0 3.0 4.0 5.0 6.0 7.0 8.0 9.0 10.0

ESTIMATE
REAL