Dealing Simulation Report

Paper details: use crystal report viewer to do this assignment for all the datas


Part 3: (10 marks)
Dealing Simulation Report
A: (4 Marks)
Describe the shape and level of the current Yield Curve in Australian Commonwealth Government Securities (ie: at the time of your dealing sessions – use data gathered from the trading system in the FMTS, plot the curve and discuss it).
Comment on its implications for Fixed-Interest fund managers.
Based on your view of the yield curve, and other sources, what is your view on Interest Rates in Australia for the following time horizons:
• 6 Months
• 12 Months
B: (4 Marks)
With respect to your trading portfolio:
1. Report on your Portfolio composition in Market Value Terms and Face Value Terms:
(a) At the commencement of trading
(b) After Dealing Session 2
2. What is the level of interest rate risk in your portfolio, as measured by: (a) Portfolio Modified Duration at the commencement of trading
(b) Portfolio Modified Duration after Dealing Session 2
3. How has the interest rate risk profile of your portfolio changed? What are the implications for your portfolio in the current yield curve environment?
4. Comment on whether you achieved your set objectives with regard to interest rate risk:
• If you achieved your objective, what trading actions/strategy contributed to your
• If you did not achieve your objective, what would you do differently?
• Was your trading consistent with the market view developed in Part 2?
C: (2 marks)
Compare and contrast your performance from one dealing session to another. Discuss what you could do to improve future dealing sessions. What lessons did you learn and how did you perform as a team?

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