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Question 101
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0 } A0 B! W; k' L, [) K; BConsider the following two statements about putable bonds:: r) ]9 \. F' q/ o
Statement #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.# y' ^. g) X0 U# V Z
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.% Y+ R" D# u% g( O, ]
Are these statements correct or incorrect?
6 C+ v0 w o, l Statement 1 Statement 2
6 t3 X& d4 H6 ^ P- LA) Correct Incorrect
. t# n- \) w2 ?% n# zB) Correct Correct
6 A; o+ `5 [. y6 D8 v# M, yC) Incorrect Incorrect
% i) H$ ?) v8 Y9 \( i( UD) Incorrect Correct
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# m6 S9 Y! P" p) m' A1 j答案和详解如下:$ Y# }" ?! A" q4 h/ C
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% }, a) j2 }" 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?
# B0 c& A1 p! w' t; Z" SA) $624.
0 I; v: i* b5 j' W) FB) $724.
7 A; X) p/ w3 s; o+ c! a* fC) $459.7 n' J9 l* ? D, [1 W& @
D) $574.; O) ^/ G2 y8 V q
: }0 v8 ~: Y8 a3 L1 g0 S* }) M答案和详解如下:& f& L" a F! {7 A- n
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$ z5 @0 `1 k6 U$ G- J+ CQuestion 103, D& h9 Z- {' x
- r- G- y$ Y$ J- zPam 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 $1,076.50 to yield 8.11%. If the yield changes by 25 basis points, the effective duration of this bond is closest to:
* |0 T* H- F4 o/ k7 R7 o8 SA) 12.25.; K& s9 _% Q# ~9 b+ h8 `/ c- T
B) 8.41.
, A* `# o7 w" m0 h2 tC) 7.42.
9 C1 q2 B, D3 y# HD) 9.53.
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答案和详解如下:( A `; C1 b4 @0 m; i
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3 L! e- N7 ~" n' G) nQuestion 104
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( j/ z% e+ J9 W( IThe term structure of interest rate theory that says long-term maturities have greater market risk than shorter maturities is called the:
+ t; N" t+ |1 X# h6 j$ j' r& YA) market segmentation theory.
$ e6 r" E: W; t8 b( nB) preferred habitat theory.
5 _3 g- a1 Q. T; ?0 w% I" }8 ^% t% KC) liquidity preference theory.
/ ?3 } m$ O# UD) pure expectations theory.
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. z- M! A* }1 o6 Z3 S6 K答案和详解如下:
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$ j! d5 ]) o$ H* q1 KQuestion 105' F' o! m; v9 {7 M, s* m
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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:; Y1 G. M& H% C P, G% \& w; ?
A) increase by 22.5%.
8 O9 {6 H" V; k6 u4 a- qB) increase by $4.00.
+ g; D/ t, E2 n/ zC) decrease by $22.50.: O% o: n z' f2 h C
D) increase by $34.00.$ @; ^8 Z) C! g& ^8 T9 j
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答案和详解如下:
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发表于 2015-7-21 09:02:51
