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本帖最后由 一起学CFA 于 2016-1-6 11:31 编辑 1 {1 L! m! \$ Z, {3 H
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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:
$ n0 ^2 r1 N1 ]( @A. 8.28%
8 _* j6 H) ~$ H/ M, xB. 7.28% B, z# @5 F; `9 e" F
C. 6.28%
* L, Q, q+ ^' l" ]* ]答案和详解，登录后回复可见：
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& d9 \) O# @' g, T( V! a6 o9 h, @2. Consider the three bonds in the following table. Which of the three bonds is most likely to have the greatest reinvestment risk? / v' V" S- H% p- P. ~
| Bond | YTM | Time to Maturity | Current Price | | A | 8% | 15 | $980 | | B | 8% | 15 | $1,000 | | C | 8% | 15 | $1,098 |
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A. Bond A - V, z$ ^9 c2 q/ v
B. Bond B $ d4 [% [6 K/ [ p( f; H# X
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: % i% Y# ?7 h' @
| Period | Years | Forward Rate | | 1 | 0.5 | 1.1% | | 2 | 1.0 | 1.7% | | 3 | 1.5 | 2.2% | | 4 | 2.0 | 2.5% |
2 v' ]* r* b8 q2 V, XA. $104.20 & d8 ?( v% x3 L9 M
B. $100 8 a+ Q& j$ z2 k
C. $98.74
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4 }6 g% ]5 }1 ^( ^/ s4. Using the BEY (bond-equivalent yield) spot rates for U.S. Treasury yields provided in the following table, the 6-month forward rate one year from now on a bond-equivalent yield basis is closest to:' h2 x: O* k# @1 Q' Y
| Period | Years | Spot Rate | | 1 | 0.5 | 1.40% | | 2 | 1.0 | 2.30% | | 3 | 1.5 | 3.00% | | 4 | 2.0 | 3.50% |
A. 4.41% T3 b# Y5 J5 P6 w: ~9 O6 z* |0 e
B. 2.20%
% F! q; b) Z' r$ xC. 2.30% : F U' k+ r% d) d! o- U
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/ J; a R! G; i, I% v5. Elaine Wong has purchased an 8%
; A2 a4 E2 e6 m1 Zcoupon 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? 9 q6 n& ~. Y3 h- t
A. 8%
8 c |1 E D4 m6 q3 y AB. 6.5%
9 r8 T5 R* A+ \* v# B) eC. 5%
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发表于 2016-1-6 09:16:16
发表于 2016-1-6 09:42:03
