Question

Let’s suppose today is 1/4/2019 and you observe the information from various coupon bonds issued by

the Australian Government. Using the bond information, please complete the following tasks:

1. Construct the pure yield curve.

Maturity Date	CR (%)	Price	FV	Freq
2020/4/1	4.50	$103.09	$100.00	Annual
2021/4/1	5.75	$108.94	$100.00	Annual
2022/4/1	2.25	$102.97	$100.00	Annual
2023/4/1	5.50	$116.13	$100.00	Annual
2024/4/1	2.75	$106.25	$100.00	Annual

Answer 1

settlement date	maturity date	rate	pr	redemption	frequency	YTM
43,556	43,922	4.5%	103.09	100	1	1.37%
43,556	44,287	5.75%	108.94	100	1	1.20%
43,556	44,652	2.25%	102.97	100	1	1.24%
43,556	45,017	5.50%	116.13	100	1	1.33%
43,556	45,383	2.75%	106.25	100	1	1.45%

YTM is calculated using the YIELD function. Since the settlement date is not falling between coupon payment dates, RATE function can also be used to calculate the YTM.