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 GBP 99.849 99.855
GB 3M T-BILL 0 20-Feb-23 GBP 99.29 99.313
GB 6M T-BILL 0 22-May-23 GBP 98.206 98.252
GB 1Y GILT 0.75 22-Jul-23 22-Jan-23 22-Jan-23 GBP 98.434 98.503
GB 2Y GILT 1 22-Apr-24 22-Apr-23 22-Oct-23 GBP 96.904 96.964
GB 3Y GILT 0.625 07-Jun-25 07-Dec-22 07-Dec-24 GBP 93.779 93.86
GB 4Y GILT 0.375 22-Oct-26 22-Apr-23 22-Apr-26 GBP 89.489 89.537
GB 5Y GILT 1.25 22-Jul-27 22-Jan-23 22-Jan-27 GBP 91.337 91.381
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”
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. §
2) Plot a yield curve for gilts with maturity date from 1 month to 5 years
- 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.
- 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.
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