Investment Management Assignment - Doc

Added on - 21 Jul 2020

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INVESTMENT MANAGEMENT
TABLE OF CONTENTSQuestion 1........................................................................................................................................1(a)Calculating bond price............................................................................................................1(B) Yield curve and explaination.................................................................................................1© Arbitrage and dollar profit.......................................................................................................3Question 2........................................................................................................................................4(A)Computation of HPR..............................................................................................................4© Risk in long and short trading strategy....................................................................................4Question 3........................................................................................................................................5(A)Maculay duration...................................................................................................................5(B) Assessing investment amount...............................................................................................6© Present value of liability and percentage change in bond portfolio.........................................6
Question 1(a)Calculating bond priceCodeCouponFacevalueYieldYears toMaturityGSBA185.50%1001.611%0.5GSBS183.25%1001.741%1GSBE195.25%1001.671%1.5GSBS192.75%1001.780%2GSBG204.50%1001.940%2.5GSBU201.75%1002.035%3GSBI215.75%1002.080%3.5GSBW212.00%1002.132%4Table1Bond price1105.213270121003102.84668424104.07862465111.02932936104.34097627119.6092938106.9359346(B) Yield curve and explainationTable2Calculation of ZYCFace valueInterestPV of interestPV of FacevaluePV of bondZYC1|P a g e
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