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Question 101( ~6 j/ j( I4 D9 C( \
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Consider the following two statements about putable bonds:
B% e. e9 u/ ^/ ^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.
$ I; E( V, L1 \' x) _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.8 ]! X9 Z4 u% E
Are these statements correct or incorrect?
2 _# A0 P/ ]4 I! |6 p Statement 1 Statement 28 O6 v" c9 A6 R% B
A) Correct Incorrect ~9 w6 k3 b: t8 |! |' A
B) Correct Correct1 T7 m8 o' z' u% x9 ^2 Z3 j
C) Incorrect Incorrect. B. `: o ]7 O
D) Incorrect Correct4 t ]: |6 X! h
& S. [. {; P- V答案和详解如下:
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Question 102( f" e6 _' Z" Z4 M- V7 g2 o: N3 }
# H) _# p! }0 _9 X4 f; R3 pJane 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?
$ S9 b; G0 D' t! w0 ^. aA) $624.! a7 y o2 L3 H- @' D" }
B) $724.
. c1 x& P" Y, @5 y0 u4 o- pC) $459.
; r+ d0 _; ^8 h# \4 m, x1 w: hD) $574.7 P8 D I5 J, b6 P4 o
/ G' e( Z" k. |# j答案和详解如下:) I6 a5 r) ?: X; i
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Question 103! K! ?: w0 c* ~" ^/ w& Z
, m: Q I! q: J0 K3 ~9 nPam 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:: ~& N! U# R* H, l9 S
A) 12.25.
' x! z+ g1 x/ F; T- e( @# UB) 8.41.
$ F* E0 S' ]# M. }5 b# \: k. ]C) 7.42.( c6 }& l5 f. A1 a3 L7 h# I
D) 9.53./ m/ J6 ^. \: x; x, k
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答案和详解如下:/ i# V2 c Y' \
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8 z* ?7 B$ I- Q/ X$ X" PQuestion 104
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$ q+ s% x/ Z+ P, N" d5 Q9 mThe term structure of interest rate theory that says long-term maturities have greater market risk than shorter maturities is called the:
/ l' ?* V3 C: ^0 _- @" x8 y/ wA) market segmentation theory.5 g4 I6 }' I- z
B) preferred habitat theory.
$ Q' |. B; _( b rC) liquidity preference theory.: `. }5 B& n3 \% I2 M5 T
D) pure expectations theory.
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答案和详解如下:
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2 q& ^" V2 d% x" oQuestion 105
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. ]2 W8 C; m# m5 uAn $850 bond has a modified duration of 8. If interest rates fall 50 basis points, the bond's price will:
( R& l- L" N8 D- iA) increase by 22.5%.; M( B4 }/ E9 W) F
B) increase by $4.00.
7 C+ B$ `& n4 o1 t. ^( W$ HC) decrease by $22.50.
# p3 m Q/ |. v+ O, o! S- xD) increase by $34.00.$ q2 q- ]: g- |8 x8 h
& S- v- H1 M; W" j) z+ l答案和详解如下:
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发表于 2015-7-21 09:02:51
