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MN50374 Quiz 2
Deadline: Friday, 9th December 2022, 12:00 GMT Page I of I On 28 November 2022, at 10:39 GMT the following bid and ask prices are quoted for GB bills and bonds with maturities from 1 month to 5 years:
Name Coupon Maturity Date Next Coupon Last Coupon Currency Bid Ask GB 1M T-BILL 0 19-Dec-22
All instruments are standard plain vanilla fixed coupon paying and the day count convention is Actual/365. The settlement date for all cases is 1 working day after trade. At maturity 100% par value + coupon will be redeemed. For instance, in case of 1-year Gilt, on 24th July 2023, a total amount of £100.3750 is redeemable.
You can access the table above through the accompanying csv file titled “GB Curve Quotes.csv”
Required: Using Python as your calculator and the knowledge from Lecture 6:
1) Calculate bond yields for Ask Price of 8 listed gilts using continuous compounding rates to at least 4 digits precision. § [8x10 points]
2) Plot a yield curve for gilts with maturity date from 1 month to 5 years [20 points] § The calculated yields shall correspond clearly to the underlying bonds. A suggestion is for you to add a column (“Yield”) in the data-frame you import from the csv file containing your calculated figures. Additional points: • Alternative practical assumptions can be made if necessary. • Your codes need to run. • To facilitate processing dates in Python, you can use the datetime library. • To calculate natural logarithm, you can use numpy. log() function. • You can convert date strings to datetime items using pandas. to_datetime() function.