|
|
本帖最后由 一起学CFA 于 2016-1-6 11:31 编辑 " `2 p4 z2 N$ K; j3 O- k6 p; S
/ h) v1 m) L; K4 X$ u
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: ( o" N: s: C4 {, B8 ]
A. 8.28%
* Z! Q& P; F& A% L5 _9 dB. 7.28% + `0 R2 @9 {' s! W% s: O3 o
C. 6.28% 5 h: O" s/ a2 O4 N9 D( O
答案和详解，登录后回复可见：0 D7 @: k' K5 V- J4 O1 v
" P% Z* ?3 O( ~" {
! {+ h: X' ]' V2. Consider the three bonds in the following table. Which of the three bonds is most likely to have the greatest reinvestment risk? $ @4 [+ h- C5 d, D2 |1 [
| Bond | YTM | Time to Maturity | Current Price | | A | 8% | 15 | $980 | | B | 8% | 15 | $1,000 | | C | 8% | 15 | $1,098 |
& @3 F5 z0 C2 J1 {
A. Bond A
* E5 K& ?! k% s' M" b0 \B. Bond B 1 \" {, g! T* j! i7 w+ y
C. Bond C % r m( E0 ]! C6 J, {
8 R& Z8 j9 A+ k6 o& x; f: ~" p4 F* {) j/ K, v9 ~$ X, r4 Q
& E5 r1 L- j/ I; W7 a) w
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:
; U( ]5 y$ C: `" C/ H& E: \| Period | Years | Forward Rate | | 1 | 0.5 | 1.1% | | 2 | 1.0 | 1.7% | | 3 | 1.5 | 2.2% | | 4 | 2.0 | 2.5% |
$ W% [ Z/ T+ @# [) O, t/ T
A. $104.20 $ ^' [( P- P- M7 X
B. $100
# T+ k6 d$ `6 L7 A9 CC. $98.74
& ^- \ a) Q2 n$ T; n& z9 R) O2 [0 k8 u# L
; a5 D) n8 x2 l& k' E! A
Z* w) _6 o) n+ c& ~2 ^3 s& I! m% L- v
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:) Q# }3 f" Y9 t9 I. N
| 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 b1 U1 `( Y9 `( h( L- t: q4 cB. 2.20%
2 ?0 V. }1 A) H3 M2 a4 WC. 2.30%
3 Y M/ I4 Q: g
" s! Q4 ~+ ]" J; S/ G2 {; P! s6 y0 {5 j1 @' V. c
& S) J: {8 g) I2 X, U3 j6 a5 y5 ~5. Elaine Wong has purchased an 8%
: Q/ y9 [/ [: y7 q. Tcoupon bond for $1,034.88 with 3 years to maturity. At what rate must the coupon payments be reinvested to produce a 5% yield-to-maturity rate? , z+ R" J( ]$ }2 F* s" ^
A. 8%
$ z/ I5 F* z9 |1 ] u# U" H( _) FB. 6.5%( j0 x, a1 N9 J" n
C. 5% 0 Y9 C! K G3 z& j4 \: J
0 z2 ?& |8 ]/ ^- H2 T& }
& o( L6 _5 H" J- f4 [ t
! `8 L6 \& a+ f更多CFA习题可关注：高顿CFA题库
) y* q( q1 a" G# k8 u2 N* N2 J$ Z关注微信CFA-FRM （CFAFighting）CFA考试资讯抢先得
* a: Y! J. R( \: a0 ]6 s9 G
7 s6 O2 A8 S5 y+ d) p7 ^; [ O' f' m
3 _4 v# V2 y! K
2 g+ P2 F8 k; k: f e9 f
8 S4 h3 p/ k- P" r) ^- g |
|
[复制链接]
发表于 2016-1-6 09:16:16
发表于 2016-1-6 09:42:03
