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本帖最后由 一起学CFA 于 2016-1-6 11:31 编辑 - ~: m& _/ V$ ~5 S2 r( R
4 `0 V A# ]8 m$ r8 l1 d r9 O1. 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 $980.74, the YTM is closest to:
* F) `' y4 t$ y" M+ UA. 8.28%
* N Q% j( i8 u9 W S& iB. 7.28% 1 F% Q+ L/ Y9 _- J( q+ B% Q+ t6 p# K
C. 6.28%
9 P) i! I% d- U R答案和详解，登录后回复可见：0 n* z$ O# r9 [ C6 E/ P
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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?
% x- ]) O7 I! X| 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 , w( P* [3 g# [/ x: t9 l
B. Bond B $ [- {. g" w3 _5 Z. D6 [' S4 k! v7 \4 J0 `
C. Bond C
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3 P0 e# X5 O9 P3. 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: 2 M: r: C! Y3 P1 Z, `4 K
| 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
: c% {5 n6 c2 b9 fB. $100 ( I0 O! V8 `$ S- _
C. $98.74 9 t& z V/ K5 V/ \$ l
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: i5 k# S# b2 Q+ L% U4. Using the BEY (bond-equivalent yield) spot rates for U.S. Treasury yields provided in the following table, the 6-month forward rate one year from now on a bond-equivalent yield basis is closest to:! H9 {, [8 [, I
| Period | Years | Spot Rate | | 1 | 0.5 | 1.40% | | 2 | 1.0 | 2.30% | | 3 | 1.5 | 3.00% | | 4 | 2.0 | 3.50% |
A. 4.41% # o( C: Z& ~, l4 G
B. 2.20%
8 |9 u! b2 J, k9 mC. 2.30% & M( N! U" @ T: m$ Z0 [" E$ [
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5. Elaine Wong has purchased an 8%9 A O! c# A5 l, @
coupon bond for $1,034.88 with 3 years to maturity. At what rate must the coupon payments be reinvested to produce a 5% yield-to-maturity rate? * i) V {6 o4 V- w3 O9 [ d
A. 8% . n r$ H2 N. w' r& q
B. 6.5%
# C' b3 L& K! b5 ]C. 5% ( I% B' @0 {7 \: J8 u
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发表于 2016-1-6 09:16:16
发表于 2016-1-6 09:42:03
