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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: & y" i( [# @- n9 j6 ~8 |
A. 8.28%
. S K8 l: O& A* ~+ b8 WB. 7.28% 7 m' ]! R5 H% E4 p
C. 6.28%
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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?
$ [! M0 U2 U% e9 b" u| Bond | YTM | Time to Maturity | Current Price | | A | 8% | 15 | $980 | | B | 8% | 15 | $1,000 | | C | 8% | 15 | $1,098 |
" m, [! y. X" ?7 o% HA. Bond A
4 w8 K( N. l! Z" BB. Bond B
4 s3 N& h; {: z% Z" ^C. Bond C 5 M# [8 R. b' Z# j
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5 j7 M$ R0 g2 c1 ]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: ; x3 O. `9 h. A/ Z. B. f
| Period | Years | Forward Rate | | 1 | 0.5 | 1.1% | | 2 | 1.0 | 1.7% | | 3 | 1.5 | 2.2% | | 4 | 2.0 | 2.5% | 9 l+ e5 ?" P" h1 G
A. $104.20
% q9 `& c/ r8 x) q, BB. $100 q \+ G- k x$ }
C. $98.74
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* f4 `9 E; e' F6 \4. Using the BEY (bond-equivalent yield) spot rates for U.S. Treasury yields provided in the following table, the 6-month forward rate one year from now on a bond-equivalent yield basis is closest to:% g9 U% }3 G. C+ L* Q: `: p
| Period | Years | Spot Rate | | 1 | 0.5 | 1.40% | | 2 | 1.0 | 2.30% | | 3 | 1.5 | 3.00% | | 4 | 2.0 | 3.50% | A. 4.41% 5 x- t0 m/ i* t9 j0 c
B. 2.20% & n8 X: v. l ]+ X' B
C. 2.30%
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5. Elaine Wong has purchased an 8%) Z7 |$ N _- F3 J8 ?8 U
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? $ H3 Z2 P, ]8 Z- H/ {
A. 8%
. g, c ~8 A( Y5 R) ZB. 6.5%9 b! ^! N5 W$ U$ R# b& e/ T
C. 5%
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