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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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1. 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 $980.74, the YTM is closest to:
3 o; n1 m' a: r$ }, i% O8 _5 NA. 8.28%
; L9 o) s/ F1 B' u% e/ @1 YB. 7.28% 7 W* m5 o6 j! K4 k7 U
C. 6.28%
! ]( i( O- t* S+ B) Q) T: h答案和详解，登录后回复可见：
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2. Consider the three bonds in the following table. Which of the three bonds is most likely to have the greatest reinvestment risk? 3 p( i7 G& u" u
| Bond | YTM | Time to Maturity | Current Price | | A | 8% | 15 | $980 | | B | 8% | 15 | $1,000 | | C | 8% | 15 | $1,098 |
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A. Bond A % u e# ~9 m% z8 c
B. Bond B , O0 t8 o( H* x' j$ L
C. Bond C
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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: 9 w5 {: \9 G- b& {$ h4 Q/ C
| Period | Years | Forward Rate | | 1 | 0.5 | 1.1% | | 2 | 1.0 | 1.7% | | 3 | 1.5 | 2.2% | | 4 | 2.0 | 2.5% |
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A. $104.20
% L' J5 U# S8 X% L- _7 R& P# QB. $100 1 n+ u2 U/ J# x6 K4 k2 J
C. $98.74 8 `3 a8 z0 E8 }- L, K. a" U' c
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6 t1 P( j- y) r; ?' g! ^" G4. Using the BEY (bond-equivalent yield) spot rates for U.S. Treasury yields provided in the following table, the 6-month forward rate one year from now on a bond-equivalent yield basis is closest to:
1 x$ Z4 D: E/ y1 o% _! ~. K| 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% . T+ M5 |$ k! n/ o" I" Q
B. 2.20%
; s B4 T$ ^% D+ K' p5 pC. 2.30%
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5. Elaine Wong has purchased an 8%0 b$ n Y& W. j2 X+ U+ B
coupon 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? & c# X: p" k7 }- j2 R# y& g2 {0 p
A. 8% ; \: V. w+ c* L" l1 j
B. 6.5%
W/ R# ]2 F3 d2 ^- }C. 5% + e, w5 i, ~, i3 E" r
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