Question A1 (Yield-to-Maturity, YTM therefore). Lets look at the bond GSBG29 at bottom of screenshot-1/3. Its bid, ask, and last traded prices are $118.02, $118.52 and $117.85 for every $100 par respectively. These prices are cash price that youve learnt in the lec- ture/textbook 2. Recall cash price is sum of clean price and accrued interest. We treat these data as end of day data. Your task is to calculate the yield-to-maturity on 20th July 2021 for bond GSBG29. The date 20th July 2021 here is identified as settlement date. You might want to choose semi-annul compounding as interest rate measurement, which matches the coupon payment frequency. Your calculation involves setting up all future cash flows, discounting these cash flows with YTM, making the sum of these discounted cash flows equal to its market price 3. To infer the yield you need Excel goal seek .

Bonds Government Corporate Government Bonds EXCHANGE-TRADED TREASURY BONDS EXCHANGE-TRADED TREASURY INDEXED BONDS Current Imago Treasury yield curve 2.5% 20% 15% 10% OSX 0 2 12y 15y 20y 30y Prices delayed by at least 20 minutes. The information on this page is reset to zero at approximately 4:30am on the following trading day. CODE SECURITY DESCRIPTION BID (5) OFFER (5 LAST TRADE (S) COUPON MATURITY (9) TRIGGER DATE NEXT EX-DATE STATUS CODE 12134 122.00 121.97 GSBE47 TREASURY BOND 3.00% 21-03-47 SEMI 3.00 Mar 2047 10 Sep 2021 111.50 110.91 GSBG23 TREASURY BOND 5.50% 21-04-23 SEMI 5.50 Apr 2023 12 Oct 2021 108.13 107.90 GSBG24 TREASURY BOND 2.75% 21-04-24 SEMI 2.75 Apr 2024 12 Oct 2021 11156 11.86 111.36 111.50 325 Apr 2025 GSBG25 TREASURY BOND 3.25% 21-04-25 SEMI Apr 2025 12 Oct 2021 118.49 118.99 118.27 425 Apr 2026 GSBG26 TREASURY BOND 4.259 21-04-26 SEMI 12 Oct 2021 102.00 123.67 4.75 Apr 2027 12 Oct 2021 GSBG27 TREASURY BOND 4.75% 21-04-27 SEMI 118.02 118.52 117.85 GSBG29 TREASURY BOND 3.25% 21-04-29 SEMI 325 Apr 2029 12 Oct 2021 Figure 1: Exchange-traded Treasury bonds (screenshot-1/3) Bonds Government Corporate Government Bonds EXCHANGE-TRADED TREASURY BONDS EXCHANGE-TRADED TREASURY INDEXED BONDS Current Imago Treasury yield curve 2.5% 20% 15% 10% OSX 0 2 12y 15y 20y 30y Prices delayed by at least 20 minutes. The information on this page is reset to zero at approximately 4:30am on the following trading day. CODE SECURITY DESCRIPTION BID (5) OFFER (5 LAST TRADE (S) COUPON MATURITY (9) TRIGGER DATE NEXT EX-DATE STATUS CODE 12134 122.00 121.97 GSBE47 TREASURY BOND 3.00% 21-03-47 SEMI 3.00 Mar 2047 10 Sep 2021 111.50 110.91 GSBG23 TREASURY BOND 5.50% 21-04-23 SEMI 5.50 Apr 2023 12 Oct 2021 108.13 107.90 GSBG24 TREASURY BOND 2.75% 21-04-24 SEMI 2.75 Apr 2024 12 Oct 2021 11156 11.86 111.36 111.50 325 Apr 2025 GSBG25 TREASURY BOND 3.25% 21-04-25 SEMI Apr 2025 12 Oct 2021 118.49 118.99 118.27 425 Apr 2026 GSBG26 TREASURY BOND 4.259 21-04-26 SEMI 12 Oct 2021 102.00 123.67 4.75 Apr 2027 12 Oct 2021 GSBG27 TREASURY BOND 4.75% 21-04-27 SEMI 118.02 118.52 117.85 GSBG29 TREASURY BOND 3.25% 21-04-29 SEMI 325 Apr 2029 12 Oct 2021 Figure 1: Exchange-traded Treasury bonds (screenshot-1/3)