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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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3 ~, G7 M$ a4 P# F, q/ X1. 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 $980.74, the YTM is closest to: 9 i1 g1 v& @( F; J
A. 8.28%
8 e; O$ v2 Z2 w' ^+ `0 I# @B. 7.28% : }% `! h1 Q4 o( ^
C. 6.28%
& z* O; V5 c8 g8 o0 g! q答案和详解，登录后回复可见：
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' v ]$ y5 e% v2. Consider the three bonds in the following table. Which of the three bonds is most likely to have the greatest reinvestment risk? / Y x6 ~5 K( R% G7 T' _% K6 M
| 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
4 R* T( t0 s0 V+ S( K- jB. Bond 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: 1 e- }, v. i7 q6 Z+ N8 A3 B
| 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 4 q9 {) C+ m/ R4 _9 G4 s3 z
B. $100
$ p6 l5 V2 V3 Y: CC. $98.74
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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:
( [# }0 X" r& W n| 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%
! |& ~: `- T) ^. K- DB. 2.20% : z) J+ g1 E0 w4 @
C. 2.30%
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5. Elaine Wong has purchased an 8%# N3 c0 u) Z1 p4 G1 U, K. f
coupon bond for $1,034.88 with 3 years to maturity. At what rate must the coupon payments be reinvested to produce a 5% yield-to-maturity rate?
8 [2 N: k% O8 u D5 L/ c& [0 ], AA. 8% ! G$ x: f* [' s5 r" n3 B5 }
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
