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本帖最后由 一起学CFA 于 2016-1-6 11:31 编辑
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2 ^2 Z7 u1 }. h1 ?6 y$ u+ e1. 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: d; w' U1 x: j( H
A. 8.28%
2 B8 D# m1 {4 b. ~( p/ P# u- E0 |B. 7.28% + U% Y: l7 g; j! |+ L; g
C. 6.28% ( I1 V. o+ c6 ~5 ^: A/ ~
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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?
" m" ]" r8 i: {| Bond | YTM | Time to Maturity | Current Price | | A | 8% | 15 | $980 | | B | 8% | 15 | $1,000 | | C | 8% | 15 | $1,098 |
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A. Bond A % M8 [) `3 v3 e
B. Bond B 1 @$ |4 B: ^! E/ S3 `* Y. s
C. 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: % y8 j7 n4 N/ E! V; 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% |
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A. $104.20
l7 y2 x, {" E2 {B. $100 / g2 w3 H9 r( r. V t
C. $98.74 1 b- W7 x5 Z2 u9 p
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" [2 r, r# Y6 \9 h4. Using the BEY (bond-equivalent yield) spot rates for U.S. Treasury yields provided in the following table, the 6-month forward rate one year from now on a bond-equivalent yield basis is closest to:) k, L. V: [; }# @# e; b9 V8 u
| Period | Years | Spot Rate | | 1 | 0.5 | 1.40% | | 2 | 1.0 | 2.30% | | 3 | 1.5 | 3.00% | | 4 | 2.0 | 3.50% |
A. 4.41%
' ~1 P+ S" x, w9 F$ MB. 2.20% , b5 ]9 _7 l' W0 ^" M" J7 y& ~% N
C. 2.30%
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5. Elaine Wong has purchased an 8%4 S& Q" g H5 L" U0 g
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?
1 e' V( V' ?" m0 o& O+ P. ?1 HA. 8% * I5 h& n2 a' m( o
B. 6.5%
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发表于 2016-1-6 09:16:16
发表于 2016-1-6 09:42:03
