PLEASE HELP.........

Choose a set of four on-the-run Australian Commonwealth Government Securities. Collect the key characteristics of each of the bonds (coupon rate, maturity date) and bond yield data as at the end of December 2016 (last working day of the month) and the end of June 2017 (last working day of the month). The bond data can be found on the RBA website (http://www.rba.gov.au(Links to an external site.)) (you will have to do some exploration of the site to find and understand what you are looking for - this is part of your task, RBA Table F16 is recommended as your first source of data).

1. Calculate the dirty price, clean price, modified duration and modified convexity of the Government bonds as at the end of December 2016 and the end of June 2017. Discuss your results.
2. Calculate the holding period return for each of the bonds over the period from December 2016 to the end of June 2017. Discuss your results.
3. Calculate the modified duration, modified convexity for an equally-weighted portfolio of the bonds at both dates and 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 to the separate bonds at both dates. Discuss your results.
4. Use all available Government bond data from the RBA website (i.e. not just the 4 bonds in your portfolio) to construct and present a yield curve, spot curve and forward curve as at the end of December 2016 and the end of June 2017. Your spot curve and forward curve estimation should go out no more than 5 years. Present and discuss your findings.
5. 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 4 with reference to this literature. Does the December 2016 forward curve appear to predict the 6 month spot rates at June 2017? Comment.

Reserve Bank of Australia A 0050eb71fd9f7b7d2e275638bd465c3fda172e80.xls C D E F INDICATIVE MID1RATES F16 OF INDICATIVE SELECTED MIDAUSTRALIAN RATES OF SELECTED GOVERNMENT AUSTRALIAN SECURITIES GOVERNMENT SECURITIES Treasury Bonds Treasury Bonds Treasury Bonds 2 Title 3 4 5 6 7 8 9 10 11 12 Description Frequency Type Units Treasury Bond 120 6.00% 15-Feb-2017 Daily Original Per cent per annum Yieldbroker Source Publication date 29-Sep-2017 Series ID FCMYFEB17D 04-Jan-2016 10/02/2017 06:49:12 1.995 G H Treasury Bonds Treasury Bonds Treasury Bonds Treasury Bond 135 4.25% 21-Jul-2017 Daily Original Per cent per annum Treasury Bond 132 5.50% 21-Jan-2018 Daily Original Per cent per annum Treasury Bond 141 3.25% 21-Oct-2018 Daily Original Per cent per annum Treasury Bond 122 5.25% 15-Mar-2019 Daily Original Per cent per annum Treasury Bond 143 2.75% 21-Oct-2019 Daily Original Per cent per annum Yieldbroker Yieldbroker Yieldbroker Yieldbroker Yieldbroker 29-Sep-2017 FCMYJUL17D 29-Sep-2017 FCMYJAN18D 29-Sep-2017 FCMYOCT18D 29-Sep-2017 FCMYMAR19D 29-Sep-2017 FCMYOCT19D 1.980 1.980 Page 1 1.980 2.000 2.055 Reserve Bank of Australia A 1 2 I J K L F16 INDICATIVE MID RATES OF SELECTED AUSTRALIAN GOVERNMENT SECURITIES Title Treasury Bonds Treasury Bonds Treasury Bonds 3 4 5 6 7 8 9 10 11 12 0050eb71fd9f7b7d2e275638bd465c3fda172e80.xls Description Frequency Type Units Treasury Bond 126 4.50% 15-Apr-2020 Daily Original Per cent per annum Yieldbroker Source Publication date 29-Sep-2017 Series ID FCMYAPR20D 04-Jan-2016 10/02/2017 06:49:12 2.085 M N Treasury Bonds Treasury Bonds Treasury Bonds Treasury Bond 146 1.75% 21-Nov-2020 Daily Original Per cent per annum Treasury Bond 124 5.75% 15-May-2021 Daily Original Per cent per annum Treasury Bond 151 2.00% 21-Dec-2021 Daily Original Per cent per annum Treasury Bond 128 5.75% 15-Jul-2022 Daily Original Per cent per annum Treasury Bond 133 5.50% 21-Apr-2023 Daily Original Per cent per annum Yieldbroker Yieldbroker Yieldbroker Yieldbroker Yieldbroker 29-Sep-2017 FCMYNOV20D 29-Sep-2017 FCMYMAY21D 29-Sep-2017 FCMYDEC21D 29-Sep-2017 FCMYJUL22D 29-Sep-2017 FCMYAPR23D 2.200 2.255 Page 2 2.425 2.550 Reserve Bank of Australia A 1 2 O P Q R F16 INDICATIVE MID RATES OF SELECTED AUSTRALIAN GOVERNMENT SECURITIES Title Treasury Bonds Treasury Bonds Treasury Bonds 3 4 5 6 7 8 9 10 11 12 0050eb71fd9f7b7d2e275638bd465c3fda172e80.xls Description Frequency Type Units Treasury Bond 137 2.75% 21-Apr-2024 Daily Original Per cent per annum Yieldbroker Source Publication date 29-Sep-2017 Series ID FCMYAPR24D 04-Jan-2016 10/02/2017 06:49:12 2.685 S T Treasury Bonds Treasury Bonds Treasury Bonds Treasury Bond 139 3.25% 21-Apr-2025 Daily Original Per cent per annum Treasury Bond 142 4.25% 21-Apr-2026 Daily Original Per cent per annum Treasury Bond 136 4.75% 21-Apr-2027 Daily Original Per cent per annum Treasury Bond 148 2.75% 21-Nov-2027 Daily Original Per cent per annum Treasury Bond 149 2.25% 21-May-2028 Daily Original Per cent per annum Yieldbroker Yieldbroker Yieldbroker Yieldbroker Yieldbroker 29-Sep-2017 FCMYAPR25D 29-Sep-2017 FCMYAPR26D 29-Sep-2017 FCMYAPR27D 29-Sep-2017 FCMYNOV27D 29-Sep-2017 FCMYMAY28D 2.750 2.815 Page 3 2.885 Reserve Bank of Australia A 1 2 U V W X F16 INDICATIVE MID RATES OF SELECTED AUSTRALIAN GOVERNMENT SECURITIES Title Treasury Bonds Treasury Bonds Treasury Bonds 3 4 5 6 7 8 9 10 11 12 0050eb71fd9f7b7d2e275638bd465c3fda172e80.xls Description Frequency Type Units Treasury Bond 152 2.75% 21-Nov-2028 Daily Original Per cent per annum Yieldbroker Source Publication date 29-Sep-2017 Series ID FCMYNOV28D 04-Jan-2016 10/02/2017 06:49:12 Y Z Treasury Bonds Treasury Bonds Treasury Bonds Treasury Bond 138 3.25% 21-Apr-2029 Daily Original Per cent per annum Treasury Bond 140 4.50% 21-Apr-2033 Daily Original Per cent per annum Treasury Bond 145 2.75% 21-Jun-2035 Daily Original Per cent per annum Treasury Bond 144 3.75% 21-Apr-2037 Daily Original Per cent per annum Treasury Bond 147 3.25% 21-Jun-2039 Daily Original Per cent per annum Yieldbroker Yieldbroker Yieldbroker Yieldbroker Yieldbroker 29-Sep-2017 FCMYAPR29D 29-Sep-2017 FCMYAPR33D 29-Sep-2017 FCMYJUN35D 29-Sep-2017 FCMYAPR37D 29-Sep-2017 FCMYJUN39D 3.050 3.210 Page 4 3.345 3.360 3.405 Reserve Bank of Australia A 1 2 AA AB AC F16 INDICATIVE MID RATES OF SELECTED AUSTRALIAN GOVERNMENT SECURITIES Title Treasury Bonds Treasury Indexed Bonds Treasury Indexed Bonds 3 4 5 6 7 8 9 10 11 12 0050eb71fd9f7b7d2e275638bd465c3fda172e80.xls Description Frequency Type Units Treasury Bond 150 3.00% 21-Mar-2047 Daily Original Per cent per annum Yieldbroker Source Publication date 29-Sep-2017 Series ID FCMYMAR47D 04-Jan-2016 10/02/2017 06:49:12 AD AE Treasury Indexed Bonds Treasury Indexed Bonds Treasury Indexed Bond 412 1.00% 21-Nov-2018 Daily Original Per cent per annum Treasury Indexed Bond 406 4.00% 20-Aug-2020 Daily Original Per cent per annum Treasury Indexed Bond 409 1.25% 21-Feb-2022 Daily Original Per cent per annum Treasury Indexed Bond 407 3.00% 20-Sep-2025 Daily Original Per cent per annum Yieldbroker Yieldbroker Yieldbroker Yieldbroker 29-Sep-2017 FCMIYNOV18D 29-Sep-2017 FCMIYAUG20D 29-Sep-2017 FCMIYFEB22D 29-Sep-2017 FCMIYSEP25D 0.240 0.255 Page 5 0.385 0.575 Reserve Bank of Australia A 1 2 AF AG AH F16 INDICATIVE MID RATES OF SELECTED AUSTRALIAN GOVERNMENT SECURITIES Title Treasury Indexed Bonds Treasury Indexed Bonds Treasury Indexed Bonds 3 4 5 6 7 8 9 10 11 12 0050eb71fd9f7b7d2e275638bd465c3fda172e80.xls Description Frequency Type Units Treasury Indexed Bond 414 0.75% 21-Nov-2027 Daily Original Per cent per annum Yieldbroker Source Publication date 29-Sep-2017 Series ID FCMIYNOV27D 04-Jan-2016 10/02/2017 06:49:12 Treasury Indexed Bond 408 2.50% 20-Sep-2030 Daily Original Per cent per annum Treasury Indexed Bond 410 2.00% 21-Aug-2035 Daily Original Per cent per annum Yieldbroker Yieldbroker 29-Sep-2017 FCMIYSEP30D 29-Sep-2017 FCMIYAUG35D 0.845 Page 6 1.000 F16 INDICATIVE MID RATES OF SELECTED AUSTRALIAN GOVERNMENT SECURITIES All yields in this table are closing rates as sourced from Yieldbroker Pty Limited. For yields 1992 to 2015 see table F16 in the Historical Statistics