|
|
本帖最后由 一起学CFA 于 2016-1-6 11:31 编辑
! S' c# Q7 k2 c$ M: \( O6 V+ b0 G
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: : B \( `+ O2 @0 @$ B- g, z
A. 8.28%
$ h( o! D$ ~% T5 e, ^, f( O% Z6 nB. 7.28% : O% H. X! L6 `. X* C$ P6 m
C. 6.28% , n7 o% i) }$ X8 J1 g2 [6 K
答案和详解，登录后回复可见：7 z. ?# o& J" g1 [ e
9 }" O4 C; s% M! G* O; ~- V0 r; g- F0 h) _; h
2. Consider the three bonds in the following table. Which of the three bonds is most likely to have the greatest reinvestment risk?
' a8 C. p4 G' ^5 H& _8 C7 b1 E| Bond | YTM | Time to Maturity | Current Price | | A | 8% | 15 | $980 | | B | 8% | 15 | $1,000 | | C | 8% | 15 | $1,098 |
# R2 }; B0 f" r5 t' D" F" _
A. Bond A - _5 U/ d8 f( c- W7 \
B. Bond B
/ [$ _- u0 r5 L, V( |C. Bond C
0 k( e# o' b7 ^
9 w, v; j; r4 n! H1 D2 i
m! P! ?) V: t8 Q6 w6 s3 n
3 v5 {# L. L- m. L# O" e3. 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:
. o8 C$ I: ]9 m8 a* l| Period | Years | Forward Rate | | 1 | 0.5 | 1.1% | | 2 | 1.0 | 1.7% | | 3 | 1.5 | 2.2% | | 4 | 2.0 | 2.5% |
0 M q* [- s b8 `+ O
A. $104.20
1 x& Y2 e& N& lB. $100 ' H1 o* E" I5 ^
C. $98.74 - f- @1 g/ t, B: C+ S4 {
% u6 e; g; O+ i8 \
S. y/ e n( M- _4 Q2 N5 s6 c* r+ ]
- ^( g% \$ K/ L7 M! _
4. Using the BEY (bond-equivalent yield) spot rates for U.S. Treasury yields provided in the following table, the 6-month forward rate one year from now on a bond-equivalent yield basis is closest to:
% M4 h1 m& E# C7 f| Period | Years | Spot Rate | | 1 | 0.5 | 1.40% | | 2 | 1.0 | 2.30% | | 3 | 1.5 | 3.00% | | 4 | 2.0 | 3.50% |
A. 4.41%
5 R- r$ e3 l1 r8 m. k' E- U- eB. 2.20%
1 U; n4 R2 c* x* [/ P! G5 H1 wC. 2.30% 4 y( k/ W8 n9 Q! [
4 L8 T& ]; I+ _- q+ W1 x, ~
: j, o+ M+ o; O$ S! Y3 N# |# N) v7 \ l/ l
5. Elaine Wong has purchased an 8%! ]; ^. g7 d5 o9 R6 R' `
coupon bond for $1,034.88 with 3 years to maturity. At what rate must the coupon payments be reinvested to produce a 5% yield-to-maturity rate?
) L( e8 L: o' u% Z4 u) cA. 8%
6 ?) |6 L4 M+ r. ^4 v0 _* F5 X8 ?B. 6.5%
k9 M. r+ d- P1 l1 \C. 5% # r7 i; W& L0 ~* f: x
' I0 f7 l" @& H# j7 n
9 ~3 N' A: [, L8 O' P9 G) S& `2 |% F1 a) m
更多CFA习题可关注：高顿CFA题库, B# V0 A1 k0 x" s" \
关注微信CFA-FRM （CFAFighting）CFA考试资讯抢先得
9 {5 r& t3 u$ x! z$ Z% r7 c
: F: E8 U. j: v7 y& |5 w: V
$ F0 R$ o% }8 D+ D/ {7 x. k" d4 d+ K1 t, c
7 `$ E+ _" t1 }8 V) {+ r: y/ _ |
|
[复制链接]
发表于 2016-1-6 09:16:16
发表于 2016-1-6 09:42:03
