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本帖最后由 一起学CFA 于 2016-1-6 11:31 编辑 2 E* {! ^& D9 y" |
! _; j' R, A) }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 $980.74, the YTM is closest to:
/ J2 H9 D$ V! [' F1 c; DA. 8.28%
9 y/ G/ W! p9 T( m. v' M. G' J$ b, C; B1 ?B. 7.28% * ]+ K/ |8 E" E1 @" ?
C. 6.28%
9 J& f. m, L0 X; x1 e) W/ z( l答案和详解，登录后回复可见：* m2 [1 d+ ^' w7 y4 O+ Y
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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?
" G* G* ]/ r9 n2 y4 Q8 ? 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 - b+ X0 D4 C6 W" V* @3 J! F
B. Bond B
; K0 ^9 s( Q. V7 b& NC. Bond C 0 a" i7 U+ I: M6 {. q0 b
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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:
, ~/ V) P7 I! a% i* k" |( t7 e( I" ?| Period | Years | Forward Rate | | 1 | 0.5 | 1.1% | | 2 | 1.0 | 1.7% | | 3 | 1.5 | 2.2% | | 4 | 2.0 | 2.5% |
$ K2 n+ H2 N' K& kA. $104.20
1 u9 I1 ?+ t% C, gB. $100 , c* }( q8 w) i/ e1 L) l/ P: q& p
C. $98.74 8 Q ~+ P0 A! l4 n+ W" E% i
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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:; R1 v' Q2 \. c3 ?1 [- m3 f1 S, ?" ?
| 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% # l3 ], K: a' }6 u- p, j1 b9 B; ~
B. 2.20%
- C ^5 _" i* vC. 2.30% $ x2 B- n# y1 f$ y3 O+ b1 d
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8 E8 v' o- L4 V$ n) r5. Elaine Wong has purchased an 8%
9 R# ?! V) n2 D) K4 f& 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?
4 {# H* x# U; Y& Z5 M* ?5 iA. 8%
/ p# P+ ^9 O* P; ~0 M6 yB. 6.5%8 ], h+ i9 v1 b6 p
C. 5%
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发表于 2016-1-6 09:42:03
