3. Download a years worth of yield curve data from here…

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3. Download a years worth of yield curve data from here

https://www.treasury.gov/resource-center/data-chart-center/interest-rates/Pages/TextView.aspx?data=yieldPreform a PCA on the curve. With words describe the first two Eigen vectors.

Run 1000 simulation of daily changes in the yield curve for 250 days (one year) using your correlation matrix and every point on the yield curve. What percent of the time does 2-10s get to a difference of 1.0% or less at anytime in year? Repeat this using just your first two Eigen vectors. Respread the total vol amoung the these two Eigen vectors weighted by their Eigen values. How much does your answer change? How much faster is the run time?

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