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Answer the following questions using the data in the table below. Submit your solutions with workings in a report format in WORD format. You are
Answer the following questions using the data in the table below. Submit your
solutions with workings in a report format in WORD format. You are to submit
the report, the Excel file, or any other file used in the calculations.
a On the of May you bought the following portfolio of
Commonwealth Government bonds. Calculate the amount you paid for
each instrument per $ face value and, thus the total for the equally
weighted portfolio. Use the yields within the table at the end of the
assignment, corresponding to your student ID number.
b Calculate the price of the instruments if they were sold on the of
February
c Calculate the holding period yield for each instrument if you sold each
bond on the of February Using the reinvestment rate contained
within the table.
d What would be the holding period yield for the portfolio over the same
period? Comment on your answer.
e Using a table format, manually calculate the duration and convexity for the
April Treasury Bond on the of April if the
yield for that day is contained within the table below.
f Using a spreadsheet Excel and its duration function, calculate the duration
for all the bonds as of the of February
g What is the duration for the portfolio as of the of February
h Using a table format, manually calculate the duration and convexity for the
April Treasury Bond on the of August if the
yield for that day is contained within the table below.
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