Bond Portfolio and Calculations

An investor has invested in US bonds since 2010 worth $40m:

Securities Nom Amount ($m)

3 months Bill US treasury 6,000,000

6 months Bill US treasury 4,500,000

2% US bond 2020 5,500,000

3% US bond 2021 5,000,000

4% US bond 2022 6,000,000

5% US bond 2028 5,000,000

5% US bond 2034 3,000,000

6% US bond 2039 4,000,000

interest rates of market

Zero Interest Rates:

Maturity: 3 months 6 months 12 months

Yield: 0.48% 0.68% 0.84%

US Bond Yields:

Maturity: 1 year 4 year 10 year 25 year

Yield: 0.82% 1.31% 2.84% 4.14%

Calculate: The current value of this portfolio.

Requirements:

• Fit the Nelson-Siegel-Svenson yield curve to the data above to find the missing yields.
• Discuss the financial risk this debt portfolio could potentially create for this investor.

Question: I was wondering if you could provide advice on how to undertake this question? Any help is greatly appreciated.