BAFI1065 Money Markets And Fixed Income Securities - Assessment 2 Specification

Question

Part 1: (17 Marks) 

1. Calculate the dirty price, clean price, modified duration and modified convexity of the Government bonds at the end of June 2020 and the end of December 2020. Discuss your results. (6 marks) 
2. Calculate the holding period return over the period from the end of June 2020 to the end of December 2020 in each bond. Discuss your results. (4 marks)
3. Calculate the modified duration and modified convexity for an equally-weighted portfolio of the four bonds at both dates. Estimate the holding period return for the portfolio over the six months between the two dates. Report on your findings. Compare and contrast the return and volatility of the portfolio and the separate bonds at both dates. Discuss your results. (7 marks)

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