|
|
本帖最后由 一起学CFA 于 2016-1-6 11:31 编辑 3 c) z& A0 e0 b( }; M) ~
* n1 [3 H0 V3 [$ k: ?- Q1. 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 $980.74, the YTM is closest to: ! P7 S, e& t/ x/ A0 U& ~
A. 8.28% 4 t; F& z( i3 {/ y" g4 j0 ]$ R
B. 7.28%
/ }. K6 D5 D# x: W, M aC. 6.28%
( m- r, L3 _) ~7 P1 m% E: H答案和详解，登录后回复可见：8 |, A+ N1 r# B/ E, N) E
, e, \! U) W5 O+ T* K. `; d. p9 J3 t; o; W* H' ` {2 t
2. Consider the three bonds in the following table. Which of the three bonds is most likely to have the greatest reinvestment risk?
: \3 j8 S' {$ \7 T) K| Bond | YTM | Time to Maturity | Current Price | | A | 8% | 15 | $980 | | B | 8% | 15 | $1,000 | | C | 8% | 15 | $1,098 |
3 D. D- J4 X c
A. Bond A
3 E7 E) f8 _. sB. Bond B ; |. t1 t# x1 [0 Q! X' l7 W! L
C. Bond C
f h8 i+ \; ]) f9 q( ]1 c0 }' }5 M; v, X
1 L: w; z5 t+ n) L! U4 N
4 K9 c8 M2 A5 _6 ^, s3 }0 h3. 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:
; ]1 Z8 ^8 j4 T, o| Period | Years | Forward Rate | | 1 | 0.5 | 1.1% | | 2 | 1.0 | 1.7% | | 3 | 1.5 | 2.2% | | 4 | 2.0 | 2.5% |
B2 j, z! _1 G! }A. $104.20
. _8 H, s. u: U7 mB. $100
% t y0 T4 {. O I' ]% dC. $98.74
% m$ E: d! s' Z5 D& r3 S# h6 T8 _8 s9 _% |; |' L# M' V
* A( [3 M% j( t- \: A* `
$ ]7 `: V/ b' u7 f
7 m2 I. }5 w i1 O4. 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:8 k9 `9 f! f7 Z1 E
| 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% 9 D: l* ~# {: }$ S
B. 2.20% 9 A/ [! H; n7 d. l
C. 2.30%
4 q9 z6 j) N/ c( N+ j2 h0 Z* e3 w Y# M2 |5 Y/ k7 W
1 [6 @) z. n4 A# C
) l1 ^% N7 }% K: c
5. Elaine Wong has purchased an 8%1 G* `5 F: c# s2 J5 u; y+ A! F
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? $ P) O8 Z% ~8 P# ^; U) W! ?
A. 8% * u, _ w2 e# o* B0 j" S$ _
B. 6.5%; B2 _" w) G; q3 J1 Q3 j
C. 5% / V# W F" Z( u2 O
- R( a2 [2 E: G# a- u% `4 z+ U5 M+ O6 R- J. x) S
8 W/ \# }9 N4 V+ q* F5 u更多CFA习题可关注：高顿CFA题库
X. e9 W. A$ h关注微信CFA-FRM （CFAFighting）CFA考试资讯抢先得
$ m- _2 \" c! T% y
9 K! ?2 y" ^- c7 X- n9 @/ T+ C: I; \6 ^
9 i% f; l7 f9 Q' W# W6 s, V0 P3 A, I5 |" v3 n D0 D
|
|
[复制链接]
发表于 2016-1-6 09:16:16
发表于 2016-1-6 09:42:03
