Part B

Marks $20\%$

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 $1^{st}$ of September $2023,$ you bought the following portfolio of

Commonwealth Government bonds. Calculate the amount you paid for

each instrument per $$100$ 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 ${31}^{sts}$ of

August $2024.$

$($c$)$ Calculate the holding period yield for each instrument if you sold each bond

on the ${31}^{st}$ of August $2024.$ 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

$3\mathrm{.}25\%{21}^{st}$ June $2042$ Treasury Bond $162$ on the ${21}^{st}$ of June $2024,$ 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 ${31}^{tst}$ of August $2024.$

$($g$)$ What is the duration for the portfolio as of the ${31}^{tst}$ of August $2024?$

$($h$)$ Using a table format, manually calculate the duration and convexity for the

$1\mathrm{.}00\%{21}^{st}$ November $2034$ Treasury Bond $140$ on the $1^{st}$ of February $2024,$

if the yield for that day is contained within the table below.

$(6+6+12+6+8+3+3+6=50$ marks $)$

Will be converted to a mark out of $20$