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Question 3: Role of ZcB Yields -5 marks (3 marks for
content and 2 marks for expression)
Yield curves are plots of zero-coupon bond yields and can
be used to estimate forward yields.
1. Draw the yield curve using the zero-coupon bond
yields in S25AssignmentPart2Data.xlsx.The
yields wil be on the vertical axis and the terms on
the horizontal axis.
Explain, in your own words, the shape of the yielc
2
curve you drewin (i) using the liquidity preference
theory
3. Calculate the forward yields out of four years (f4 to
4.5, f4 to 5; f4 to 5.5…, f4 to 1o) and out of five years (f.
to 5.5; f5 to 6; f5 to 6.5…;, f5 to 1o). List the forward
yields in a table under the headings -Term, Forward
yields out of 4 years and Forward yields out of 5
years.
4.
Explain,in your own words, what the forward
yields are implying about interest rate movements
in the future.
Question 4: Bond Portfolio -5 marks (3 marks for
content and 2 marks for expression
Use the information in the EXCEL spreadsheet and your
calculations in Question 2 to estimate the duration anc
modifed duration for all twentyTreasury Bonds
1. List the durations and modifed durations in a table
under the headings -Treasury Bond Code; Term,
Duration and Modifed Duration.
Create a bond portfolio with a modifed duration o
。
5.25 years that only contains two of the twenty
Australian Treasury Bonds in the EXCEL
spreadsheet.Your group invests$5,250,000 in this
two-bond portfolio.Estimate how much, both
weight and dollar amount, that your group wil
invest in the two bonds that you choose to invest in.
Your group must show how they estimated the
weight and dollar amount.
Explain, in your own words, how your group wil!
3.
ensure the two-bond portfolio maintains a modifec
duration of 5.25 years over the next 12 months
based on the impiedinterest rate movements you
explained in Question 3(4).
Deductions from the Final Mark -One mark will be
deducted from the fnal mark ifa reference list is not
providedaftereach question oron the last page ofthé
Assignment.
25721 Investment Management -Spring 2025最先出现在KJESSAY历史案例。
