文章類型:High School Assignment 高中essay
字數(shù)要求:3500
補充要求和說明:用excel計算 并寫明計算過程
The major project is to be done on groups of four. Each group will choose a set of three Australian Commonwealth Government Securities and one Short-term security (Bank Bill or T-Note) Singapore Government bill with maturity of no more than 6 months. Collect the key characteristics of each of the bonds and the bill. Bond yield data will be collected at the end of June 2010 and at the end of December 2010. The data bond data can be found on the RBA (
http://www.mythingswp7.com/scxzy/) (you will have to do some exploration of the site to find and understand what you are looking for). 四組的主要項目是必須要做的。每個小組將選擇一組三個澳洲聯(lián)邦政府證券和短期安全(銀行匯票或T-注)新加坡政府法案到期日不超過6個月。收集各債券及該法案的主要特征。在2010年6月底和2010年12月底,債券收益率的數(shù)據(jù)將被收集。數(shù)據(jù)鍵數(shù)據(jù)可以發(fā)現(xiàn)澳洲聯(lián)儲的(找到并理解你正在尋找什么,你將不得不做一些探索的網(wǎng)站)。
Required需要
1。計算臟和干凈的政府債券的價格,而該法案于2010年6月2010年12月結束。 (4分)
2。計算債券的久期和凸,該法案于2010年6月和2010年12月結束。 (6分)
(提示:一起做1&2)
3。計算每三個債券,該法案在2010年6月至2010年12月期間的持有期收益率。 (4分)
4。計算兩日的債券和票據(jù)為使用同樣的加權組合的久期和凸。 (4分)
5。比較和對比組合和單獨的債券,該法案的回報和波動性。 (2分)
6。使用債券和票據(jù)數(shù)據(jù)構建一個收益率曲線,現(xiàn)貨曲線和遠期曲線在2010年6月底,并于2010年12月底。 2010年6月的產(chǎn)量預測為2010年12月的6個月期利率?評論這個預測的準確性,2010年12月收益率曲線。 (6分)
7。查看收益率曲線隨參考期刊文章和網(wǎng)站的預測能力。討論收益率曲線估計參考這些文獻。 (4分)
(總分4 6 44 256789104=30)
1. Calculate the dirty and clean prices of the Government bonds and the bill as at the end of June 2010 and December 2010. (4 marks)
2. Calculate the duration and convexity of the bonds and the bill as at the end of June 2010 and December 2010. (6 marks)
(hint: do 1 & 2 together)
3. #p#分頁標題#e#Calculate the holding period return for each of the three bonds and the bill over the period from June 2010 to December 2010. (4 marks)
4. Calculate the duration and convexity using an equally weighted portfolio of the bonds and the bill for both dates. (4 marks)
5. Compare and contrast the return and volatility of the portfolio and the separate bonds and the bill. (2 marks)
6. Use the bond and bill data to construct a yield curve, spot curve and forward curve as at the end of June 2010 and also at the end of December 2010. Does the June 2010 yield predict the 6 month rate for December 2010? Comment on the accuracy of this prediction given your December 2010 yield curve. (6 marks)
7. Review the predictive ability of the yield curve with reference to journal articles and web sites. Discuss the yield curves that you have estimated with reference to this literature. (4 marks)
(Total marks 4+6+4+4+2+6+4 = 30)
如果您有論文代寫需求,可以通過下面的方式聯(lián)系我們
點擊聯(lián)系客服