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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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9 c: h, T& L2 A1 X, f1. 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 $980.74, the YTM is closest to:
! R5 J @* y) Q# jA. 8.28% ) q2 _, s$ I* U
B. 7.28% ! x$ Q8 N J5 u7 |
C. 6.28%
6 @" M, |" b" ~2 I- P6 y3 h答案和详解，登录后回复可见：
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2 B0 ?; _2 U% C& ?: I* W/ }2. Consider the three bonds in the following table. Which of the three bonds is most likely to have the greatest reinvestment risk? 7 q4 F- t6 j: P6 M7 D0 Q
| Bond | YTM | Time to Maturity | Current Price | | A | 8% | 15 | $980 | | B | 8% | 15 | $1,000 | | C | 8% | 15 | $1,098 |
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A. Bond A ( I& o, H" P" C( X
B. Bond B 6 l! h8 T4 H2 p$ E
C. Bond C ! I5 @5 \( K6 d2 o/ y; F
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0 e$ A# I: |( G& \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:
; g5 ^* x- F: \* H6 \. A# |# F| Period | Years | Forward Rate | | 1 | 0.5 | 1.1% | | 2 | 1.0 | 1.7% | | 3 | 1.5 | 2.2% | | 4 | 2.0 | 2.5% |
' u8 l# Z0 D- p: U/ W5 m0 P4 z1 W4 hA. $104.20
( P# r8 M5 o' R; }) h7 u, [( qB. $100 0 V0 s, J) p9 w4 V, ~
C. $98.74 . o8 g$ ?+ C v: \" s. 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:
! C& q* M3 F/ f4 P& Q" _| 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% : Y& Y( |4 l0 j& y; k- L4 u
B. 2.20% . ^1 {0 A1 r2 ^8 e' S
C. 2.30% 2 h. |( D. W' V4 G1 m
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5. Elaine Wong has purchased an 8%
, [) K: D# T) l' B' Z5 g- l( Fcoupon 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? 0 s& E9 q; \* _( N4 J
A. 8% 2 X9 I' S+ y3 g' N! f
B. 6.5%/ a1 v- J. R" e, H
C. 5% 5 t, ^9 ?' p" F! E
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发表于 2016-1-6 09:16:16
发表于 2016-1-6 09:42:03
