Here we consider the yield curve of Chinese Government Bond (CGB). Recall that a yield curve...
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Here we consider the yield curve of Chinese Government Bond (CGB). Recall that a yield curve means a discounting factor function DF(t) for any future time t, which denotes the present value of $1 at time t. There is another zero rate function z(t) with the relationship DF(t) = ez(t)t Discounting factors and zero rates could be obtained through the bootstrap process from instruments across different maturities. a) At the last business day of every quarter in 2018 and the first quarterin 2019, build CGB yield curve based on 5 instruments, which are the latest issued 1 year, 3 year, 5 year, 7 year and 10 year CGB at the time. Assume zero rates are constant within 0,71, and linear functions on time intervals T1, T2, T2, T3, T3, T4, T4, T5 respectively, where Ti(1 i 5) are the remaining maturities of the 5 CGB bonds a the time. The relevant bonds basic parameters and pricing information are in the attached excel sheet. b) At chinabond.com.cn, the official CGB yield curve publishes everyday in the format of CGB yield levels for standard tenors. Use your results in a) to calculate 10y CGB yield levels at the 5 quarter ends, and compare them with the official published numbers (which already included the attached excel sheet). c) Suppose you invest in CGB 160023 on March 30, 2018, and redeem it on March 29, 2019. Use your result in a) to derive the purchase and sale prices of this instrument, and calculate the return for such investment. You may compare your result with the "10-year Treasury Bond Total Return Index" published by Chinabond. Here we consider the yield curve of Chinese Government Bond (CGB). Recall that a yield curve means a discounting factor function DF(t) for any future time t, which denotes the present value of $1 at time t. There is another zero rate function z(t) with the relationship DF(t) = ez(t)t Discounting factors and zero rates could be obtained through the bootstrap process from instruments across different maturities. a) At the last business day of every quarter in 2018 and the first quarterin 2019, build CGB yield curve based on 5 instruments, which are the latest issued 1 year, 3 year, 5 year, 7 year and 10 year CGB at the time. Assume zero rates are constant within 0,71, and linear functions on time intervals T1, T2, T2, T3, T3, T4, T4, T5 respectively, where Ti(1 i 5) are the remaining maturities of the 5 CGB bonds a the time. The relevant bonds basic parameters and pricing information are in the attached excel sheet. b) At chinabond.com.cn, the official CGB yield curve publishes everyday in the format of CGB yield levels for standard tenors. Use your results in a) to calculate 10y CGB yield levels at the 5 quarter ends, and compare them with the official published numbers (which already included the attached excel sheet). c) Suppose you invest in CGB 160023 on March 30, 2018, and redeem it on March 29, 2019. Use your result in a) to derive the purchase and sale prices of this instrument, and calculate the return for such investment. You may compare your result with the "10-year Treasury Bond Total Return Index" published by Chinabond.
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Related Book For
Applied Regression Analysis and Other Multivariable Methods
ISBN: 978-1285051086
5th edition
Authors: David G. Kleinbaum, Lawrence L. Kupper, Azhar Nizam, Eli S. Rosenberg
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