求指導 options future and swap

蔡凱潤

我真的無力吐槽我的神課 明明不是finance major的結果好可憐選到那麽難的finance 我怎麽都讀不懂

求大神幫我看看我的作業給點指點~~

• 1. Download data on prices, coupon rates and YTMs for 4 government bonds. Please attach the printout from Bloomberg 哦or other site with the data to your report.
  

• 2. Using this information, calculate duration of these bonds taking into account semiannual coupon payments. Use YTM on each bond as a discount rate.
  

[Note: bonds pay semiannual coupons and the period of time is 6 months. Calculate duration in half-years first, and then divide the result by 2 to find D in years. To find Modified Duration, divide Duration (in years) by (1+rate per year/2).]

• 3. You have $500,000 to invest in government bonds. Construct a portfolio of 4 bonds with duration 4 years. Describe how you set up the Solver to come up with your bond allocations. Attach results from Solver to your report.
  

• 4. Shorten duration of your portfolio in part 3 from 4 years to 1 year using futures contracts to manage your interest rate risk. You can use any Treasury bond futures. The information on futures contracts can be found on Bloomberg. Please attach the data, which you used, to your report.