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Question 101
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Consider the following two statements about putable bonds:# {' H: k% Q- C: n* r7 q, A8 Y
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. R2 ?, Q; J5 P. I$ I8 ?1 O; n1 C
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.: S3 @& ]- S* ^. s- Q; D7 I4 W
Are these statements correct or incorrect?: C8 x& L' Z) r( ]9 ]( }# X. M
Statement 1 Statement 2
, x; j9 P7 E! PA) Correct Incorrect
8 M( U$ A) n- y% N1 k2 P5 jB) Correct Correct
( z' A' ^% w0 \( Y( D A& q& }C) Incorrect Incorrect6 |; y* q% k" D+ t5 ]
D) Incorrect Correct
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- u# L. Q# |' m答案和详解如下:$ n4 V8 R* n& |8 U t) O
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1 ?$ g1 J* n1 TQuestion 102$ y/ G9 Z3 G% C3 U
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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?
- s- k1 E# P$ `A) $624.
5 V" v4 t+ S0 z- i! n& TB) $724.0 P6 P# w, y6 t& ?. y
C) $459.) k* t' n9 w1 p2 B1 V* d
D) $574.
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b2 @' P* e) w/ U* f8 u- z答案和详解如下:
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Question 103
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( d: F- @6 |2 Z( 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 $1,076.50 to yield 8.11%. If the yield changes by 25 basis points, the effective duration of this bond is closest to:
! Q+ g* B8 U8 i& ?# Y+ s/ EA) 12.25.
# _4 g/ e8 D2 d1 h3 H/ \B) 8.41.. A) T/ a/ U/ S3 a
C) 7.42.- o+ a! |( E! ]4 A( e6 M4 g1 Z
D) 9.53.1 j3 N8 x' L/ Z; y- l3 _
6 [" V3 m& i% ~& D( t+ y; R& V/ Y) r答案和详解如下:3 U& z% {, X+ v x J w
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4 @+ q+ @/ A+ `% x U6 E- kQuestion 104
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The term structure of interest rate theory that says long-term maturities have greater market risk than shorter maturities is called the:4 Y4 J5 R) b. i# g5 Z
A) market segmentation theory.' p! [& m( y5 B- e1 G" K% G4 I. A
B) preferred habitat theory.
y& ~ T2 s. O. vC) liquidity preference theory.9 r9 P% X: |# J
D) pure expectations theory.4 z) E! I: L" d# m8 j v
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答案和详解如下:
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9 E4 q. _0 O2 t% v& i$ \+ ~( oQuestion 105$ W8 E& a4 P" l0 i. \6 x4 K2 v
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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:
- g. e' _1 |2 N/ _; LA) increase by 22.5%.1 Q- R4 @, }0 ^& ~* w( _: z6 V/ z
B) increase by $4.00.
! U" W; R9 x( l( N6 s: AC) decrease by $22.50.
. l5 t7 a5 m( n, D9 |# E5 [D) increase by $34.00.3 t: }0 }! {* G/ G1 D) I" Y+ l+ q
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答案和详解如下:% i% R3 {& @$ a( J8 M9 Q! G& T A
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发表于 2015-7-21 09:02:51
