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Question 101
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Consider the following two statements about putable bonds:
" G8 S; E4 d0 ~ DStatement #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.: b1 V0 K: W7 o* a
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.
- ?5 |' }. Q/ K4 ?% @Are these statements correct or incorrect?
2 @& O0 n. X$ ]8 \) u4 c Statement 1 Statement 2
3 p! Q7 n; a3 q: q) hA) Correct Incorrect9 v) r! m& k. ^) d7 r, b3 l: H
B) Correct Correct+ }0 v+ [% v. R% a( d7 R
C) Incorrect Incorrect3 g! J4 {( y; ^& R Z
D) Incorrect Correct/ X ~# ^. j2 T1 z/ K
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答案和详解如下:. g( }6 u; \" H$ ]; U
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* m0 V2 \% T' ]7 a2 wQuestion 1021 }8 N2 D( k4 @* ^" }2 s
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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?: n0 e# W" B/ |, ?, a
A) $624.
2 r/ q, N: k! Q* aB) $724.
! n2 |+ D* y& O0 j$ qC) $459.; P/ Q7 q: ]- h8 O$ n
D) $574.1 C& X" O: K% `* G$ c5 q
+ T% x! M2 ~! S答案和详解如下:
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Question 103
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' ]4 X; M0 O0 w& A' v9 hPam 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 $1,076.50 to yield 8.11%. If the yield changes by 25 basis points, the effective duration of this bond is closest to:9 x& J# ~$ y" K- Y9 K d6 r: U# [) m
A) 12.25.% T9 i, C {$ m( e* s
B) 8.41.
5 L$ h, j2 `6 A' k2 X6 M7 a$ z/ WC) 7.42.
3 F8 d. U/ T, p+ C, ^3 O! M; m; b9 ID) 9.53.+ A. `$ \9 \: I0 W! |. Y+ k3 N
7 x) K7 W1 Q5 C, t, i答案和详解如下:
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/ C: z7 b8 T. ]Question 104
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The term structure of interest rate theory that says long-term maturities have greater market risk than shorter maturities is called the:
: \8 Q6 Y( w6 \5 Z6 XA) market segmentation theory.* r! P$ ^0 b& F3 N$ T, V
B) preferred habitat theory.
* J& `6 Z _* CC) liquidity preference theory.' o# o& Y' E1 Q( [* i x e1 F- c
D) pure expectations theory.
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答案和详解如下:0 b( d2 b- c3 n# }
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Question 105
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An $850 bond has a modified duration of 8. If interest rates fall 50 basis points, the bond's price will:
# A* B7 [) D1 l3 U' tA) increase by 22.5%.( x5 L$ k* ]* u" Y: N! o- ?
B) increase by $4.00.
, T5 }5 A# f7 v; |; tC) decrease by $22.50. c& z! S. l# Y4 }. ]
D) increase by $34.00.+ Y% Q% \+ Y0 c6 J8 @; ]
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答案和详解如下:/ `+ |% q) }2 d7 o# L( W( N k7 H
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发表于 2015-7-21 09:02:51
