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本帖最后由 一起学CFA 于 2016-1-6 11:31 编辑 . O9 w, T7 a; c. `# ^
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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 $980.74, the YTM is closest to:
0 @1 E- O( r' C7 D1 l7 ~A. 8.28%
- Y0 Y- X" X9 `! G, K+ x% |5 {B. 7.28% 5 n0 Q5 R* ?0 ~, }9 F
C. 6.28%
1 \, P( }( s# d+ c2 F答案和详解，登录后回复可见：% H1 R5 [$ e$ H8 d5 x
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) }4 T, r, ^% p5 o2. Consider the three bonds in the following table. Which of the three bonds is most likely to have the greatest reinvestment risk? 6 I3 q6 y d! x ^" J8 [+ t3 v
| 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 9 a0 P% @( H* ?' a: Z
B. Bond B
2 e' w/ Q% A; b& b6 MC. 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:
' E6 E) o: C; t' y d) V0 Y| Period | Years | Forward Rate | | 1 | 0.5 | 1.1% | | 2 | 1.0 | 1.7% | | 3 | 1.5 | 2.2% | | 4 | 2.0 | 2.5% |
, ^! l1 \: q3 p. h# _A. $104.20 6 O: F1 l) Z5 H+ O1 {0 d8 ~
B. $100 l' R" X6 m' C, E6 R
C. $98.74 ' b) l; c( W& k
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% W: i" w# S& O0 J4. Using the BEY (bond-equivalent yield) spot rates for U.S. Treasury yields provided in the following table, the 6-month forward rate one year from now on a bond-equivalent yield basis is closest to:* w7 A4 l( _) d7 j
| Period | Years | Spot Rate | | 1 | 0.5 | 1.40% | | 2 | 1.0 | 2.30% | | 3 | 1.5 | 3.00% | | 4 | 2.0 | 3.50% |
A. 4.41% : a, S4 u& H8 s0 {1 Z8 r
B. 2.20% 4 L% Z2 R$ ]" I$ i! z! Q
C. 2.30% 1 I, t5 C+ F2 J* T& N5 @+ l/ T, I3 r
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5. Elaine Wong has purchased an 8%
. h8 z) ] X" k, ^6 `9 ^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?
9 J" s* ?0 C4 A; QA. 8%
1 {0 t& Q8 X' K; WB. 6.5%& r% u0 ?' F8 g; x8 d. E
C. 5%
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发表于 2016-1-6 09:16:16
发表于 2016-1-6 09:42:03
