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本帖最后由 一起学CFA 于 2016-1-6 11:31 编辑 / J# E' y; h* s+ f8 s6 G) S- Q
/ j2 P6 @# q$ a) Y: Z8 F7 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: $ o& f- J/ P; B. u8 @- D9 S6 x
A. 8.28% + ~6 h8 ~+ A. B
B. 7.28% : g2 \6 Q' _' A* z+ M. K
C. 6.28% ) |. r/ p( m2 p/ l# q7 {' C, f
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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? ; z, z6 G3 B, t ~# {8 \
| Bond | YTM | Time to Maturity | Current Price | | A | 8% | 15 | $980 | | B | 8% | 15 | $1,000 | | C | 8% | 15 | $1,098 |
( ]4 U$ G" Q1 A7 l( r& WA. Bond A 0 {7 D" ~9 z/ g( b# K3 M6 j2 s1 }1 z
B. Bond B
3 x3 K) T* i: [& O3 i kC. 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:
4 L: J8 ]. R8 H, r+ {: k9 \| Period | Years | Forward Rate | | 1 | 0.5 | 1.1% | | 2 | 1.0 | 1.7% | | 3 | 1.5 | 2.2% | | 4 | 2.0 | 2.5% |
7 H. v4 q* u+ J) N" s/ F1 }A. $104.20 % o+ C- j* Q6 j$ U: O" H: u. |5 C
B. $100
: C1 A0 U) z5 f$ A1 ]C. $98.74 & ]; U* _# `$ x' y8 R6 r6 `
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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:
: H4 U) C& T3 o, q% g( W| 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% 1 X- i9 U) o" y3 ?
B. 2.20% - s4 f( i: r+ n7 ?* I3 l
C. 2.30%
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* L _( _( H2 {; ]' m5. Elaine Wong has purchased an 8%' _! x/ b4 a+ E
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? ' b* i+ a& o0 P% h4 |% G
A. 8% 5 x( \6 E' D) N5 G( g9 m
B. 6.5%. I" X1 s, c) V) A+ H- ?
C. 5% 1 u- D8 B, I2 W' y- b7 ^! _
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