Hi everyone,
I have a nice case to prepare and need weekly riskfree interest returns on the UK treasury bond. Right now I have daily returns and want to convert them into weekly. The problem is, weeks do not always contain five trading days. How can I turn my data into weekly average riskfree interest returns?
Please, help me
kind regards
Mirko
Look at a part of my spreadsheet below.<SCRIPT language=JavaScript src="<A href="http://www.interq.or.jp/sun/puremis/colo/popup.js"></SCRIPT>
I have a nice case to prepare and need weekly riskfree interest returns on the UK treasury bond. Right now I have daily returns and want to convert them into weekly. The problem is, weeks do not always contain five trading days. How can I turn my data into weekly average riskfree interest returns?
Please, help me
kind regards
Mirko
Look at a part of my spreadsheet below.<SCRIPT language=JavaScript src="<A href="http://www.interq.or.jp/sun/puremis/colo/popup.js"></SCRIPT>
UK interest daily.xls | ||||||
---|---|---|---|---|---|---|
A | B | C | D | |||
1 | Date | Interest rate | weekday | |||
2 | 4-Jan-88 | 9.87 | 1 | |||
3 | 5-Jan-88 | 9.99 | 2 | |||
4 | 6-Jan-88 | 10.05 | 3 | |||
5 | 7-Jan-88 | 10.09 | 4 | |||
6 | 8-Jan-88 | 10.13 | 5 | |||
7 | 11-Jan-88 | 10.05 | 1 | |||
8 | 12-Jan-88 | 10.07 | 2 | |||
9 | 13-Jan-88 | 10.28 | 3 | |||
10 | 14-Jan-88 | 10.11 | 4 | |||
11 | 15-Jan-88 | 9.98 | 5 | |||
12 | 18-Jan-88 | 9.87 | 1 | |||
13 | 19-Jan-88 | 9.96 | 2 | |||
14 | 20-Jan-88 | 9.91 | 3 | |||
15 | 21-Jan-88 | 9.86 | 4 | |||
16 | 22-Jan-88 | 9.71 | 5 | |||
17 | 25-Jan-88 | 9.7 | 1 | |||
18 | 26-Jan-88 | 9.76 | 2 | |||
19 | 27-Jan-88 | 9.69 | 3 | |||
20 | 28-Jan-88 | 9.56 | 4 | |||
21 | 29-Jan-88 | 9.55 | 5 | |||
22 | 1-Feb-88 | 9.74 | 1 | |||
23 | 2-Feb-88 | 9.62 | 2 | |||
24 | 3-Feb-88 | 9.64 | 3 | |||
25 | 4-Feb-88 | 9.68 | 4 | |||
26 | 5-Feb-88 | 9.75 | 5 | |||
27 | 8-Feb-88 | 9.93 | 1 | |||
28 | 9-Feb-88 | 9.85 | 2 | |||
UK interest daily |