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Question 101
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Consider the following two statements about putable bonds:5 F! M2 p9 ~5 ]4 T/ y; ^' [# y* T/ B9 u
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.# G+ F- y* B/ E+ L2 C( f
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.
) T [3 u( P; O3 A# g- ~' Q% C3 LAre these statements correct or incorrect?( }& z* a+ q% ^* d) H, t' E2 n; n( T
Statement 1 Statement 2
) F1 K( Z8 ^; V- y: J8 BA) Correct Incorrect8 d' R4 N! K4 E: _( a4 l/ q: D
B) Correct Correct
+ F j1 l! {' ~: P1 _3 bC) Incorrect Incorrect* M/ ?$ L5 @0 _! b' \* `0 v
D) Incorrect Correct1 e( y" u5 v* b* G* F/ K
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答案和详解如下:
: A" D% R2 v$ q$ ]5 s8 Q& Z6 |/ v) C. R
# p$ R8 i9 @( p
Question 102/ B0 L0 ?9 k( t3 r
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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?
( t; x4 H. x; P( b* Q+ B- `6 a5 }A) $624.
8 q- ]- S% I n8 }" F6 s+ `' nB) $724. x7 n. T; r6 i
C) $459.% g. q& D$ q$ U8 v# l
D) $574.
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答案和详解如下:
8 c- F" |8 A+ P9 M
# `# Z) K8 c* C h+ I" P9 O, c; L t, c
# K) C% V" d9 u* Z/ e+ wQuestion 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 $1,076.50 to yield 8.11%. If the yield changes by 25 basis points, the effective duration of this bond is closest to:
- Y2 A7 b# X# o7 ]% K/ ]A) 12.25.6 ?; y' D; x9 R ^" R# b
B) 8.41.
h3 @/ a, d6 X. V4 d7 bC) 7.42.' Q: i9 z- t7 r' D0 C
D) 9.53.( j t( l8 v# m0 n) l+ n6 ^9 S
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答案和详解如下:1 f: ^ n9 d5 J3 N5 r
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6 `' l) ]( H" y4 K) F+ fQuestion 104
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The term structure of interest rate theory that says long-term maturities have greater market risk than shorter maturities is called the:
. s) \9 v5 W7 J& H m& |, wA) market segmentation theory.
4 A z( B( A% i1 D1 n( _" AB) preferred habitat theory.( M- S! s# k u
C) liquidity preference theory.; ^# e( {2 R: s7 ^: ~
D) pure expectations theory.6 Y6 r( b, q9 L/ e5 F
; e) [# _6 ^4 q! N" ^- K: X+ \答案和详解如下:6 `2 B; \% r0 ^# Y2 X1 x' O
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- v$ ~) N' B9 C/ l1 Y: hQuestion 105 L$ Q* n0 a: y2 d( @
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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:
2 |' t& ~7 ~ F# HA) increase by 22.5%.
3 D7 S" ]7 _( h4 K: d/ gB) increase by $4.00.
* e% R: }0 x# e0 b: w! yC) decrease by $22.50.3 c# [( _# H8 J/ r. X5 W
D) increase by $34.00.7 Z" q& H B9 W" z {
9 \2 [* X& @5 B/ T8 r! P! C答案和详解如下:
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发表于 2015-7-21 09:02:51
