Yield Curve Analysis for 2,5,10,12,15-year Treasury Bonds From 2007 T0 2014

Abstract

It is not possible to compare the relative value of bonds by looking at their prices as the different maturities, coupons etc will affect the price and so a lower priced is not necessarily better value. Therefore in order to calculate relative value investors will compare bond yields. The main aim of this study is to analyze the yield curve of 2, 5, 10, 12, 15 year Kenyan treasury bonds issued between 2007 and 2014 by the Central Bank of Kenya. The yield curve of Bonds issued by the government usually demonstrates the tightness of the monetary policy; allow cross-country comparisons; assist in pricing of new issues; assess relative value between bonds; allow one to derive implied forward rates and help investors understand risk.