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Question 101
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3 J' J& t( K: S: ^1 r4 ~9 N7 J& mConsider the following two statements about putable bonds:. l" W' g: E2 c) D# P7 g- @
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.
( G8 x7 j- u. }7 J/ \& JStatement #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.
) l1 e, i6 y" @3 F0 hAre these statements correct or incorrect?
3 T: H# j5 d% {* Q' ] Statement 1 Statement 22 \0 E, r" k7 T2 q. X8 y
A) Correct Incorrect) x9 d: x# O6 \) D
B) Correct Correct
" }, O$ @& ^' z0 T* D0 S. _C) Incorrect Incorrect. A( T& Q; Q( {" N1 x- V8 n
D) Incorrect Correct3 w& | V2 @# l3 y/ X4 W
; N9 M2 {. j# S) s# z( m/ T答案和详解如下:/ x h# h. B( u) G
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Question 1026 V `; g0 i1 o+ E0 `/ L6 @& Q
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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?
+ Z# p9 S/ m. [0 iA) $624.
; \0 t* Q8 I5 K: UB) $724./ @2 c. \7 c1 C! [! p
C) $459.
8 X) g! j! R2 b8 ~7 [D) $574.
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: I; G+ {: p; @: t1 M, K答案和详解如下: f6 u1 n! l6 K- y5 h9 R
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Question 103
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Pam 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 $1,076.50 to yield 8.11%. If the yield changes by 25 basis points, the effective duration of this bond is closest to:7 Z+ q5 q! w' }# K }
A) 12.25.
+ A- g P/ }8 B& g3 D9 aB) 8.41.
: r' z p+ j* _C) 7.42.0 u; Y1 U6 }* u" ]
D) 9.53.5 U2 F( i @! f Z! i
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答案和详解如下:
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Question 104
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' t; S e% A. ~! [. f4 ^; y8 d3 LThe term structure of interest rate theory that says long-term maturities have greater market risk than shorter maturities is called the:: ? `$ w" g$ K" H# {
A) market segmentation theory.
: t) N9 u6 K, s |" u- R3 e$ O5 f5 jB) preferred habitat theory.9 G' m J% S8 B0 H" x8 H
C) liquidity preference theory.
' A, ]4 X- d" KD) pure expectations theory.
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答案和详解如下:
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5 ?5 o N& Y lQuestion 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:
. r3 W7 l; k0 a' ZA) increase by 22.5%.6 q. K+ v( n+ I, R% o
B) increase by $4.00.
, e# S7 Q( f6 |/ _9 i- j) ^% sC) decrease by $22.50.( h }4 X3 z3 S4 W! \2 O
D) increase by $34.00.9 z9 W- V& C1 J0 d% ]; S- J$ c' V
3 e% s2 ?( s3 u+ r# r% C答案和详解如下:
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发表于 2015-7-21 09:02:51
