Part 1: (20 Marks)

A. Calculate the dirty price, clean price, modified duration and modified convexity of

the Government bonds as at the end of January 2020 and the end of July 2020. Discuss your

results. (7 marks)

B. Calculate the holding period return in each bond. Discuss your results. (5 marks)

C. Calculate the modified duration and modified convexity for an equally-weighted

portfolio of the four bonds (25% weight for each bond) at both dates (that is, both at the end

of January 2020 and the end of July 2020). 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. (8 marks)