Reference no: EM133056898
Yield Curve Interpolation and Government Bond Future Contract For June 2021 Maturity, US Ultra-Long BondiUSMl), US Ten Year (TYMl) and UK Long Gilt (G_M1), Futures Contracts, the deliverable bonds against each of these contracts are given.
A) For each of the above bonds, using Cubic Spline interpolation and CMY From the US Fed and nominal zero- coupon yield from Bank of England find the time series of daily prices, YTM, Duration and Convexity for each bond from 1/1/2020-2/28/2021.
B) Find the daily rate of return of each bond and conversion factor adjusted return (conversion factor adjusted return is simply the daily return multiply by the conversion factor)
C) For each Day, identify the Cheapest to Delivery Bond for each of the above contract (DCT D) .
D) Find the conversion factor adjusted daily rate of return of the above DCTD bonds for each Futures contracts.
E ) Calculate the actual daily rate of return of the three Futures contract in the given time period.
F) For all three contracts, compare and comment on the daily rate of return in D and E.