|
|
本帖最后由 一起学CFA 于 2016-1-6 11:31 编辑 - a: q" m9 k) U% _
6 f: Q5 @& A' n. A1 a p; t1. Consider a $1,000 par value bond, with an annual paid coupon of 7%, maturing in 10 years. If the bond is currently selling for $980.74, the YTM is closest to: 5 m( Y+ x# i3 e# Z
A. 8.28%
: S0 J& e7 l( E* GB. 7.28% 7 H3 X: R% F+ D! P: k. ^
C. 6.28% % V' u( v, g) C/ h- s3 W
答案和详解，登录后回复可见：" G$ e3 r1 a+ n& G" X& x" D
Z5 Y4 x1 c {. x
7 n8 ~/ J D V6 A6 ~! s4 z6 ^2. Consider the three bonds in the following table. Which of the three bonds is most likely to have the greatest reinvestment risk? 3 S6 J2 C9 u& U4 W4 H. Q
| Bond | YTM | Time to Maturity | Current Price | | A | 8% | 15 | $980 | | B | 8% | 15 | $1,000 | | C | 8% | 15 | $1,098 |
5 \: |( A3 L* b) d1 m3 w) Y
A. Bond A 6 q, i2 N4 b& Q6 L2 p! W- d M
B. Bond B 3 @% a* l" {% ` |: ]8 b
C. Bond C * o4 j5 _! _" M/ e, I* o4 p
: ~# Z; G' e% v, x: F
$ I$ O; \ v4 N2 l) y/ }" `4 x# T
/ `0 M+ i4 k' u7 p9 l' O3. Using the U.S. Treasury forward provided in the following table, the value of a 2 year, 100 par value Treasury bond with a 4% coupon rate is closes to: * J" \ B" e! z* Z( j4 w9 X7 O
| Period | Years | Forward Rate | | 1 | 0.5 | 1.1% | | 2 | 1.0 | 1.7% | | 3 | 1.5 | 2.2% | | 4 | 2.0 | 2.5% |
2 e; Q8 v7 b$ G) B4 u H
A. $104.20 & _8 U- D( n( J. D( `
B. $100 ( G# T5 j5 [. v
C. $98.74 ; e4 q& V S7 x5 z8 b( a: N6 ^
2 p3 e: Q, V0 L" u+ `& o
# K5 s5 Y& O) @1 x7 S U
3 A( L# y: V+ A U8 ]; \' j
* ^5 F: l4 x5 m. P4. Using the BEY (bond-equivalent yield) spot rates for U.S. Treasury yields provided in the following table, the 6-month forward rate one year from now on a bond-equivalent yield basis is closest to:) `* ]& e) A& D; ? p# g0 `, l
| Period | Years | Spot Rate | | 1 | 0.5 | 1.40% | | 2 | 1.0 | 2.30% | | 3 | 1.5 | 3.00% | | 4 | 2.0 | 3.50% |
A. 4.41% 6 t- S5 L% ` { I/ E9 m0 W6 e1 E$ ]
B. 2.20%
; O8 J+ B: [- [# R5 x. dC. 2.30%
: U. M8 o( F! v* V
4 Q( s$ j% Z' K) l X
4 U, V/ d: o8 J( V- |5 f" @; D$ F* [) c1 | }
5. Elaine Wong has purchased an 8%
* z7 B, l7 ^( [8 [coupon bond for $1,034.88 with 3 years to maturity. At what rate must the coupon payments be reinvested to produce a 5% yield-to-maturity rate?
3 [$ c6 Y& w. d3 b. }A. 8% , J, A& @3 i$ w3 g0 b+ f5 F
B. 6.5%
) J% {/ A; W: {1 G s% M9 NC. 5%
K6 b+ s! z0 p
5 l( f( w0 ]0 I2 ~- w% F! _) n! ? l- r9 p
: R% [0 Q2 l: J更多CFA习题可关注：高顿CFA题库9 C& C. }! X. T& Z
关注微信CFA-FRM （CFAFighting）CFA考试资讯抢先得' S& y J0 Q) w7 l8 d8 j
! I' W1 H% {1 A' v5 L+ D( t
! d- R2 L" G3 s5 ~6 U0 s
! e- w: p( L- v/ y I8 } D3 D& u( a- n
; H, ?& Z$ ]# A+ B9 G- _
|
|
[复制链接]
发表于 2016-1-6 09:16:16
发表于 2016-1-6 09:42:03
