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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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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 $980.74, the YTM is closest to: 9 n; X; N$ A9 P; o
A. 8.28% / n& F8 b( x; k$ A& T! I. z
B. 7.28% 0 W- Z- [. l$ k4 ?. a$ S
C. 6.28% 6 i x' x4 E' O) Z5 f4 G n2 C
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) ^. {7 g9 c$ \' d V3 A2. Consider the three bonds in the following table. Which of the three bonds is most likely to have the greatest reinvestment risk? ( p/ A% A" B7 o2 b5 j* R/ _
Bond | YTM | Time to Maturity | Current Price | A | 8% | 15 | $980 | B | 8% | 15 | $1,000 | C | 8% | 15 | $1,098 | 2 j/ g' I& b, K Z% {
A. Bond A
; Y+ L! ]& d+ L) pB. Bond B
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' c2 o$ V" X% n7 Z' m3. 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: & l8 u! U# {% A$ _0 P9 K
Period | Years | Forward Rate | 1 | 0.5 | 1.1% | 2 | 1.0 | 1.7% | 3 | 1.5 | 2.2% | 4 | 2.0 | 2.5% |
6 {4 }! q( V: I: M) QA. $104.20 % p q9 h+ O" q; }
B. $100
% ?% q6 z$ Q7 K( s1 U7 b3 V4 v# OC. $98.74
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; f$ t+ a$ F; ?/ u4. 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:
+ `" r& H$ @$ m 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% 8 t# J! O4 a; X) h U, `
B. 2.20%
6 X6 L; o9 T7 P& ZC. 2.30%
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5. Elaine Wong has purchased an 8%
$ j# }1 o x9 ycoupon bond for $1,034.88 with 3 years to maturity. At what rate must the coupon payments be reinvested to produce a 5% yield-to-maturity rate?
, \6 y; k8 B# W. n$ D/ NA. 8% 9 S( |0 L( S0 j$ c
B. 6.5%
9 E5 b4 D' r' S4 E8 t7 JC. 5% 9 f' E8 M9 u" G& L7 i
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