Case study 02 – Bond valuation and yield curve interpolation Topic: Structure of interest rates – Interpolation FNCE – Purpose: The purpose of this assignment is for you to value a bond using a yield curve where you must interpolate missing values.  Directions: Using the Case02_ExcelTemplate, follow the guidelines below to interpolate the yield curve and complete the bond valuation.  Step 1: Go to https://www.treasury.gov/resource-center/data-char… and fill in the yield curve (blue-font cells in column C). The date you must use is 09/01/2023.  Step 2: Complete the linear interpolation in column D.  Step 3: Complete the Nelson-Siegel model (as per video in brightspace). The final step is to find the value of a bond with 12 years to maturity, has an annual coupon payment and coupon rate of 7%. Par value is $1,000.  Step 4: Fill in cells L16 through W17 with the bond cash flows. Do the same for cells L24 through W24. Step 5: Using the linear interpolated yield curve, fill in cells L17 through W17. Using the Nelson-Siegel yield curve, fill in cells L25 through W25. The bond prices will automatically calculate for you.attachment_2.xlsxattachment_126.pdf

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