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Question 101# j; S4 V& v8 [/ `3 s
3 c$ C' k+ t! TConsider the following two statements about putable bonds:
# p% O# J0 w5 D9 W S" U, S' 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.
. B, ~; r" \0 n. G& N/ Q. pStatement #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.
: d. Y* n9 X6 X. ]* tAre these statements correct or incorrect?0 f. y4 ~7 j `3 h. G+ ]; s0 u F
Statement 1 Statement 2
( X! J& K8 Q& C5 a) ~A) Correct Incorrect
$ j9 F5 Y& {. {4 S" EB) Correct Correct; n1 m" k6 @9 ?. x V
C) Incorrect Incorrect& J- p! N) w0 I+ \* F! e* w) x
D) Incorrect Correct
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3 e3 ]* ]2 o' k5 h' ]$ [5 N答案和详解如下:3 ~; Q) j* Y0 f# M I, K P# W; g
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( ?7 s/ v2 Y, `/ E& T) s0 Q% HQuestion 102
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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?% h6 t5 d! r) o. V' P g+ {
A) $624.
9 p5 L i- ^0 vB) $724.0 [' l7 H/ S; f6 `
C) $459.1 B w; M. s/ s7 |9 |
D) $574.
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答案和详解如下:4 s) S2 T: Q9 P
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' h6 L8 `, l9 a& ]5 v$ [. mQuestion 103$ w3 f2 C; u }( J+ D: F* l
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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 $1,076.50 to yield 8.11%. If the yield changes by 25 basis points, the effective duration of this bond is closest to:
, {1 B" t4 x) vA) 12.25.' `; m3 d8 ~5 _& ]
B) 8.41., w! m g3 [' U' ?. ?
C) 7.42.
( s: B& I L2 Q. Y$ C6 v- h& kD) 9.53.$ j' \$ M0 ^0 ]$ T' A
4 i+ c. M) G M1 X. f答案和详解如下:
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7 X* ^, O* N( c8 ^5 ]9 X7 |" ?Question 104# @! f6 Z/ k; L
" I9 c9 M% a7 d, p- p1 dThe term structure of interest rate theory that says long-term maturities have greater market risk than shorter maturities is called the:
8 l! L7 T: h9 b, d SA) market segmentation theory.
8 l+ b! ?5 U7 [5 e: \+ s+ S, g6 tB) preferred habitat theory.
7 u& W3 g3 Z) r% _C) liquidity preference theory.
6 r3 i- W4 V A) yD) pure expectations theory.9 E6 \) I) H4 z' G# x3 u7 Y
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答案和详解如下:
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Question 105- }6 ~& z8 L g/ } k
# m" U$ X( \ q' n9 i4 oAn $850 bond has a modified duration of 8. If interest rates fall 50 basis points, the bond's price will:& Q5 e8 C% ^# m3 `
A) increase by 22.5%./ K* {2 H( m7 S% e. u+ k, A
B) increase by $4.00.) n4 b l, R: N0 o
C) decrease by $22.50.
3 o5 F/ }% x0 TD) increase by $34.00.2 g* y/ u" ~0 I
! Z' E1 R" S5 `4 b Z答案和详解如下:4 I+ M2 T# C2 ^' f
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发表于 2015-7-21 09:02:51
