Answered step by step
Verified Expert Solution
Link Copied!

Question

1 Approved Answer

Please help me please i will give good rating a) On the 1 st of July 2022 , you bought the following portfolio of Commonwealth

Please help me please i will give good rating

image text in transcribed

a) On the 1 st of July 2022 , 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: (b) Calculate the price of the instruments if they were sold on 30 th of June 2023 (c) Calculate the holding period yield for each instrument if you sold them on the 30 th of June 2023 . Using the reinvestment rate contained within the table. (d) What would be the holding period yield for the portfolio as a whole over the same period? Comment on your answer (e) Using a table format, manually calculate the duration and convexity for the 3.75%21 st April 2037 Treasury Bond 144 on the 21 st of April 2023 , if the yield for that day is contained within the table below. (f) Using a spreadsheet (Excel) and its duration formula, calculate the duration for all the bonds as at 30 th of June 2023. (g) What is the duration for the portfolio as at 30 th of June 2023 ? (h) If the portfolio had 44-day Bank Accepted bill with the yield contained within the table, what would be the bill's duration? Explain you answer. (i) Comparing the two sets of rates, what can you say about the term structure? Note: show all calculations for parts (a) to (i). a) On the 1 st of July 2022 , 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: (b) Calculate the price of the instruments if they were sold on 30 th of June 2023 (c) Calculate the holding period yield for each instrument if you sold them on the 30 th of June 2023 . Using the reinvestment rate contained within the table. (d) What would be the holding period yield for the portfolio as a whole over the same period? Comment on your answer (e) Using a table format, manually calculate the duration and convexity for the 3.75%21 st April 2037 Treasury Bond 144 on the 21 st of April 2023 , if the yield for that day is contained within the table below. (f) Using a spreadsheet (Excel) and its duration formula, calculate the duration for all the bonds as at 30 th of June 2023. (g) What is the duration for the portfolio as at 30 th of June 2023 ? (h) If the portfolio had 44-day Bank Accepted bill with the yield contained within the table, what would be the bill's duration? Explain you answer. (i) Comparing the two sets of rates, what can you say about the term structure? Note: show all calculations for parts (a) to (i)

Step by Step Solution

There are 3 Steps involved in it

Step: 1

blur-text-image

Get Instant Access to Expert-Tailored Solutions

See step-by-step solutions with expert insights and AI powered tools for academic success

Step: 2

blur-text-image

Step: 3

blur-text-image

Ace Your Homework with AI

Get the answers you need in no time with our AI-driven, step-by-step assistance

Get Started

Recommended Textbook for

Fixed Income Markets And Their Derivatives

Authors: Suresh Sundaresan

3rd Edition

0123850517, 978-0123704719

More Books

Students also viewed these Finance questions

Question

explain what is meant by the terms unitarism and pluralism

Answered: 1 week ago