OVERVIEW

The project's aim is to perform an analysis of yields derived from UK government bonds, and evaluate the ability of specific bonds to hedge a hypothetical liability.

DELIVERABLES

Once you have completed your empirical analysis, you need to submit

• an Excel workbook containing all your calculations
• a short report (max 1,500 words) explaining and discussing your findings

The workbook needs to be submitted in .xlsx format. Please make sure that the workbook is as reader-friendly as possible. I would suggest that the calculations for each individual objective (see below) are presented in separate worksheets of the workbook.

The report should briefly discuss the findings that you present in the workbook. It should include tables and graphs where relevant, and should clearly indicate what you have done and what your results mean.  You should focus on providing an intuitive discussion rather than reproducing chunks of theory or merely presenting statistics. The report should not exceed 1,500 words (plus tables and graphs). Any tables and graphs should be clearly labelled and referenced in the main text. The report should be divided into sections and sub-sections, including a short Introduction and a Conclusion.

DATA

The data that will be required for the empirical analysis is in the spreadsheet "Coursework_01_UK_Yields.xlsx". This file contains the daily time-series of UK yields. Maturities range from 1 month to 25 years, covering the entire term structure of UK interest rates. The sample period spans 13 years, from January 2000 to December 2012.

Attachment:- Data.rar