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Question 101
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Consider the following two statements about putable bonds:1 g2 t, F; L8 G! v) W
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.3 \( O# f, P( A0 V
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.7 D/ F1 U( z2 P, ?' ]9 K
Are these statements correct or incorrect?
( T% b2 [+ a4 x) f3 U( ^7 ?$ o! D2 [ Statement 1 Statement 2
" n" Y. K3 i0 S- X0 j* @$ L- q% TA) Correct Incorrect2 C+ N. X! x* G6 @+ b. N
B) Correct Correct
8 I- R: d5 ]( E" } Z6 uC) Incorrect Incorrect1 G/ ~+ X; r( n6 i" g8 o
D) Incorrect Correct. t, c3 v$ t, Y7 z2 ?0 v+ d1 D
6 T; h; C) }5 a1 V1 C# I2 v6 w答案和详解如下:
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: a2 \$ o# y: M. S# C+ YQuestion 102
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; _0 l1 Q. W* ^ ]1 UJane 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?
" \- M: t( d5 @/ e. QA) $624.
# e, f. E) Z/ U# F; Z! l) rB) $724.
D7 f* `. H# i: ?C) $459.- D. y. V8 V4 A, e
D) $574.- V4 |+ p+ q1 s! N0 r* n" X
" v& p }3 L# |# K9 B3 L0 T7 N# u答案和详解如下:+ ?1 j3 k, M( G5 J% E& B% ?
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7 p1 p# i; }" e8 n: u* ]; nQuestion 103
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7 j" ^7 ]3 h! U3 I0 n% \+ UPam 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 $1,076.50 to yield 8.11%. If the yield changes by 25 basis points, the effective duration of this bond is closest to:
/ c6 h: Z# F4 [. o& Z0 B8 VA) 12.25.2 R. g/ r0 x! U, k0 m* R
B) 8.41.) Y5 C) D/ b/ c
C) 7.42.
1 }6 c: Z% l$ z4 ^D) 9.53.
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答案和详解如下:: L: @9 _8 C: ]- |
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1 }4 o8 }% L$ G& `& O; d1 A& f; QQuestion 104
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# k+ u9 E% Q$ m% zThe term structure of interest rate theory that says long-term maturities have greater market risk than shorter maturities is called the:" U+ l- M- @7 x& @) `
A) market segmentation theory.
' w) j2 ^6 T0 G, k5 n7 _: `% A6 ]B) preferred habitat theory.
4 }5 n; w, C! }C) liquidity preference theory.6 h! A* |5 v( X) G
D) pure expectations theory.- ]- {/ M) ~! L, w
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答案和详解如下:
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Question 105# T) c5 f0 d( M
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An $850 bond has a modified duration of 8. If interest rates fall 50 basis points, the bond's price will:' t) X$ p6 ]' e9 K! u X
A) increase by 22.5%., r" U3 U4 o+ i5 K- B
B) increase by $4.00.
1 }$ m8 \: @. p) ^2 x) A AC) decrease by $22.50.
& {+ C5 @6 A4 f9 dD) increase by $34.00.
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答案和详解如下: J+ e0 I8 I. `4 T4 v
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发表于 2015-7-21 09:02:51
