INDICATIVE-MID-RATES-OF-SELECTED-AUSTRALIAN-GOVERNMENT-SECURITIES-assignment-help-

(a) On the 1^st September 2015, 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 given.

F16 INDICATIVE MID RATES OF SELECTED AUSTRALIAN GOVERNMENT SECURITIES
Title	Treasury  Bonds	Treasury  Bonds	Treasury  Bonds	Treasury  Bonds	Treasury  Bonds
Description	Treasury Bond 120 6.00% 15-­Feb-­2017	Treasury Bond 141 3.25% 21-­Oct-­2018	Treasury Bond 124 5.75% 15-­May-­2021	Treasury Bond 139 3.25% 21-­Apr-­2025	Treasury Bond 144 3.75% 21-­Apr-­2037
Frequency	Daily	Daily	Daily	Daily	Daily
Type	Original	Original	Original	Original	Original
Units	Per cent per annum	Per cent per annum	Per cent per annum	Per cent per annum	Per cent per annum
01-­Sep-­2015	1.790	1.765	2.130	2.640	3.275
31-­May-­2016	1.700	1.665	1.820	2.250	2.925

(b)Calculate the price of the instruments if they were sold on 31^st May 2016

(c)Calculate the holding period yield for each instrument if you sold them on the  31^st  May  2016.  Assume  the  reinvestment  rate  is  1.75% p.a.  for  the bonds.

(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 3.25% 21^st April 2025 Treasury Bond 139 on the 21^st April 2016, if the yield was 2.545%.

(f)Using a spreadsheet (Excel) and its duration formula, calculate the duration for all the bonds as at 31^st May 2016.

(g)What is the duration for the portfolio?

(h)If the portfolio had 60-­day Bank Accepted bill with a yield of 1.34%, what would be the bill’s duration?  Explain you answer.  

 

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