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Question 101
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Consider the following two statements about putable bonds:
8 Q) G( U( ~& [" F- T JStatement #1: As yields rise, the price of putable bonds will fall less quickly than similar option-free bonds (beyond a critical point) due to the increase in value of the embedded put option.: c, ]) [8 m e; D, L
Statement #2: As yields fall, the price of putable bonds will rise more quickly than similar option-free bonds (beyond a critical point) due to the increase in value of the embedded put option.
, E2 j! X# u8 |( v) W6 n2 m7 F6 w9 sAre these statements correct or incorrect?
! {- d- T! j7 }! N( W- c& T! C ^4 X Statement 1 Statement 2
7 Z) _4 _( z) F/ V; C6 w% x OA) Correct Incorrect( G9 K( a' ?. }
B) Correct Correct
$ t2 f \2 o; q- k: N5 T. uC) Incorrect Incorrect
7 b8 E; d$ l# {; bD) Incorrect Correct5 O6 I% I+ C( d Q2 B
2 q$ X( J& T3 k8 I# b* q/ p答案和详解如下:
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Z$ e# i% t4 ^4 AQuestion 1029 Y) ]- ^6 ~+ y
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Jane Walker has set a 7% yield as the goal for the bond portion of her portfolio. To achieve this goal, she has purchased a 7%, 15-year corporate bond at a discount price of 93.50. What amount of reinvestment income will she need to earn over this 15-year period to achieve a compound return of 7% on a semiannual basis?
- b# z' R- @% D9 H3 _A) $624.
6 h7 a7 m9 G+ ~* OB) $724.+ g. n0 o( m8 j( @
C) $459.
- W8 X7 u4 W4 t7 p4 iD) $574.
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答案和详解如下:! b. M. a0 }- Z5 T7 ~( B8 Y
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; Z) q4 M* }2 U" J0 SQuestion 103
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Pam Williams is evaluating whether she should purchase a particular bond. She is primarily concerned with the effective duration of the measure. The bond is a 15-year semiannual pay bond with a 9% coupon that is currently priced at $1,076.50 to yield 8.11%. If the yield changes by 25 basis points, the effective duration of this bond is closest to:
- J8 F% y! V1 v QA) 12.25., ~& N1 d H; h* e
B) 8.41.* A* S$ c# Y, @; v
C) 7.42.. r2 c1 A$ U" M1 m8 R5 o6 O( O) e
D) 9.53.
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答案和详解如下:$ s4 l, x) D+ l! w1 F( P! d: T
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Question 104- j3 n2 A/ D* r" n, W8 J
, z& z% F) C9 `The term structure of interest rate theory that says long-term maturities have greater market risk than shorter maturities is called the:
7 b4 |2 G- j# n$ H- K) xA) market segmentation theory.: I- o- f8 d# q* C6 M
B) preferred habitat theory.0 Q# v" a: p" J4 B) J4 x- d7 |
C) liquidity preference theory.
- H& Y* }1 j5 G) }) tD) pure expectations theory.
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p4 B3 I K1 [" n/ y N5 z" Q答案和详解如下:" M) j/ p7 E- \ g" [$ s
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- O; Z, k# C* r; [- d; `- u6 S' CQuestion 105( ^5 I2 h/ J( x$ ?! T: q8 d; S' y9 i
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An $850 bond has a modified duration of 8. If interest rates fall 50 basis points, the bond's price will:
& M! _$ l8 d, D6 GA) increase by 22.5%.
; K6 A% [4 ~7 o7 ^B) increase by $4.00.
n. z, U" n; @; Q( }4 O' PC) decrease by $22.50.
; M: c/ w" c# i. |3 Y5 kD) increase by $34.00.
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2 J/ n: d# u/ _答案和详解如下:
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发表于 2015-7-21 09:02:51
