I have chosena set of fourAustralian Commonwealth Government Securities (data attached). I am required to collect the key characteristics of each of the bonds (coupon rate, maturity date) and bond yield data as at the end of June 2019 (last working day of the month) and the end of December 2019 (last working day of the month). * I require help in calculating the following:

Part 1

A1-the dirty price, clean price, modified duration and modified convexity of the Government bonds as at the end of June 2019 and the end of December 2019. As well as the holding period return for each of the bonds over the period from end of June 2019 to the end of December 2019. Discuss your results.

-Calculate the modified duration and modified convexity for an equally-weighted portfolio of the four bonds (25% weight for each bond) at both dates (that is, both at the end of June 2019 and the end of December 2019). Estimate the holding period return for the portfolio over the 6-month period between the two dates. Report on your findings. Compare and contrast the return and volatility of the portfolio and the separate bonds at both dates. Discuss your results.

(*the dirty prices needed for part A1 are found in an interim step in the duration calculation, no need to calculate them separately).

Part 2:

A. Use all available Government bond data to construct and present a yield curve, spot curve and forward curve as at the end of June 2019 and the end of December 2019. The spot curve and forward curve estimation should go out no more than 5 years. Present and discuss your findings.

B. Review the predictive ability of the yield, spot and forward curves with comprehensive reference to the relevant academic literature. Discuss the curves that you have estimated in Part 1 (A) with reference to this literature. Does the June 2019 forward curve appear to predict the 6 month spot rates at December 2019?

Treasury Bonds Treasury Bonds Treasury Bonds Treasury Bonds Treasury Bond 124 Treasury Bond 153 Treasury Bond 133 Treasury Bond 142 5-May-2021 21-Nov-2022 5.50% 21-Apr-2023 4.270 21-Apr-2026 Daily Daily Daily Daily Original Original Original Original Per cent per annum Per cent per annum Per cent per annum Per cent per annum Yieldbroker Yieldbroker Yieldbroker Yieldbroker 01-Sep-202 01-Sep-2020 01-Sep-2020 01-Sep-2020 FCMYMAY21D FCMYNOV22D FCMY APR23D FCMY APR26D