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Question 101 s# S* j3 x8 \' `% n4 E
" ?- V: w- h) _6 n) W- W8 |0 y- i- wConsider the following two statements about putable bonds:$ H+ n7 a3 T2 l, h
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.* {9 M/ j6 c0 I m A j
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 o! }& B8 P1 j; `- N8 AAre these statements correct or incorrect?
( s% s+ C& @& t, S/ N Statement 1 Statement 24 m" ^1 M! g' x/ h! d6 @
A) Correct Incorrect
' v+ t( o8 G! d0 ]B) Correct Correct
: L7 @, C" @' L4 T$ g% AC) Incorrect Incorrect
$ \: O' U. I0 sD) Incorrect Correct$ x7 J+ d+ `& S; f
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答案和详解如下:9 c! b! x J* V z. k1 D9 z
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# s, Y1 p9 B HQuestion 102& P! j7 @( \# ~$ Y
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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?4 O' I7 q. V0 u& i- h
A) $624.' }. i. y) z* {" H% @6 F
B) $724.7 D. N! Z7 L4 l7 u0 j: p, G
C) $459.% P) b0 O$ j6 [& I |9 X W( G8 l- j
D) $574.
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答案和详解如下:$ {8 }# D% v: ~9 z
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b% ]( T* m( f! B# Z2 U, t& \Question 103
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( j, E, v4 a- i& v: i, ?/ N7 APam 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 $1,076.50 to yield 8.11%. If the yield changes by 25 basis points, the effective duration of this bond is closest to:5 j" @. a, D: o& t
A) 12.25.
, c/ T+ K8 N# d' @- ?/ l) iB) 8.41.% t! @+ d) n0 O: m! k
C) 7.42.
, A+ o4 P6 Y; ID) 9.53.
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% s' s0 @' T) |& u" g答案和详解如下:# Z+ I& q9 f6 ?( c9 r
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6 Y4 E- Y7 @: u" R8 ^) L$ VQuestion 1045 u1 Z7 W* t, B* ~: J. W
0 x2 k# m7 G! ^1 F' e0 HThe term structure of interest rate theory that says long-term maturities have greater market risk than shorter maturities is called the:
9 c+ t( u. w9 O; d, k; T iA) market segmentation theory.# D; F0 k% |) Z
B) preferred habitat theory.. E- h$ K8 y( g& W% |; s- Z0 Z4 q: ]
C) liquidity preference theory.
0 b) f! I8 f5 T4 zD) pure expectations theory.: W. q" ]) R, t& N
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答案和详解如下:
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Question 105
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An $850 bond has a modified duration of 8. If interest rates fall 50 basis points, the bond's price will:' }* O: c2 }: k' H" Y0 a
A) increase by 22.5%.: k3 q" `, \+ ^/ U4 M$ {3 r
B) increase by $4.00.6 I z! ?7 f @' H; M5 i$ I
C) decrease by $22.50.
0 m2 W' c6 O& U: T. ]D) increase by $34.00.
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答案和详解如下:
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发表于 2015-7-21 09:02:51
