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Question 101! c6 q: k: w5 `; c' o) M
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Consider the following two statements about putable bonds:
6 \! l5 |! z% lStatement #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.
2 E* ?$ c2 N9 iStatement #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.
- s+ Z( d! j& }' y7 x; uAre these statements correct or incorrect?! i- E9 C* O) f& |& e. r: M& K- P$ @
Statement 1 Statement 2/ t( H! E P# ^8 I# f
A) Correct Incorrect
- `, ~# B) J$ b$ p1 CB) Correct Correct
1 K9 o( l. r9 ^8 A' iC) Incorrect Incorrect! c6 x8 Z6 ~, x; L6 o1 x
D) Incorrect Correct
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) ^0 M; G+ B( B! I* C答案和详解如下:- r! e' r; H* @% v
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7 C8 x* g# ?* G4 X6 |8 zQuestion 102+ U' J4 m! c1 P% g) e( H
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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?
* r6 P: R# V# B# q2 I5 x& uA) $624.5 D: ?4 J" v& \- [0 N
B) $724.
\. Z2 u. N4 j' N3 s9 y5 \C) $459.
4 h$ K/ U/ F% ~3 z$ f, AD) $574.
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4 |$ O6 Q E5 r3 u. ~7 Z' p答案和详解如下:% y, {( w- i; j& ~1 ?+ e
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# h! a, }0 \. f* Y# y! I. E8 E& a/ AQuestion 103
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9 s8 q9 W2 I0 oPam 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 $1,076.50 to yield 8.11%. If the yield changes by 25 basis points, the effective duration of this bond is closest to:4 S }6 p0 Y- t/ j/ f. @
A) 12.25.% f9 I3 Z# w' c3 |1 G# `4 z
B) 8.41.
# X- v, u% d- U7 xC) 7.42.
: D- F' d* m7 G5 X# |$ c5 t L- S8 KD) 9.53.
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$ @( U* i3 O0 c5 i' Y/ c& B答案和详解如下:
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Question 104
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4 L, X- \4 R, Z6 hThe term structure of interest rate theory that says long-term maturities have greater market risk than shorter maturities is called the:
* n8 P4 q( w2 V5 x: x3 Z* ~A) market segmentation theory.- T l+ {. f: t, \: U
B) preferred habitat theory.9 ]! _* c0 Y, n
C) liquidity preference theory.
u! R# O8 s5 W1 zD) pure expectations theory.
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答案和详解如下:
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. T' p o+ |4 |& QQuestion 105+ Q) g; D% k5 u. N" _
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An $850 bond has a modified duration of 8. If interest rates fall 50 basis points, the bond's price will:
5 Y) j- ~% `$ E& @7 t" k3 d+ CA) increase by 22.5%.: C9 _9 Q: [4 g) i) D- d, d" S
B) increase by $4.00.! a E2 C; d0 c* I" {
C) decrease by $22.50.6 J$ L0 v' B6 P) y% J* ?* g; y7 _
D) increase by $34.00.5 ^1 a3 y h; G$ O) b T
: a; B3 b4 e) ]) V答案和详解如下:# z* m. w m8 p
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发表于 2015-7-21 09:02:51
