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本帖最后由 一起学CFA 于 2016-1-6 11:31 编辑
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1. 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 $980.74, the YTM is closest to: 6 A% K5 }5 _$ y
A. 8.28% 8 P7 I$ I1 k ?, a; C8 m
B. 7.28%
/ n) \$ Q1 s* hC. 6.28%
6 l5 u! L3 \: r: N% u& B" Z答案和详解，登录后回复可见：
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e; ]0 b; O, q% |4 Z0 x) Q2. Consider the three bonds in the following table. Which of the three bonds is most likely to have the greatest reinvestment risk?
: B. a* D+ L$ I* H| Bond | YTM | Time to Maturity | Current Price | | A | 8% | 15 | $980 | | B | 8% | 15 | $1,000 | | C | 8% | 15 | $1,098 |
j9 j( B Z0 ?) q" e6 Q6 b% @4 \: UA. Bond A & D1 W9 v/ D- P# Z$ A
B. Bond B : Y/ }' G3 ^4 z2 x& I* k8 A7 i3 X
C. Bond C
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8 P% J0 Y3 j2 {3. 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:
* A- [6 W* G6 `. b| Period | Years | Forward Rate | | 1 | 0.5 | 1.1% | | 2 | 1.0 | 1.7% | | 3 | 1.5 | 2.2% | | 4 | 2.0 | 2.5% |
8 L% p/ ?0 I5 D- t4 o' nA. $104.20 4 l; L( d& M+ `2 O2 Y. n8 k
B. $100
" `) j/ X% z4 t8 bC. $98.74 8 ^! N0 [( V+ [, `, V i3 }7 c9 Y: k* G$ A
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4. 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; |/ j% b1 O8 E# R# g/ J, B* o, k
| 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% ; o7 ~1 z+ G% K7 z$ s Y8 ~" Q: F
B. 2.20%
7 w1 X" d4 w5 c2 WC. 2.30%
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: Q V8 D7 _$ Z. l3 y# }. C5 r5. Elaine Wong has purchased an 8%2 q8 i" {/ Z2 ~" T% F
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?
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B. 6.5%# q% M* z, j0 Q! j; D
C. 5%
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发表于 2016-1-6 09:16:16
发表于 2016-1-6 09:42:03
