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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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& |# i+ T) F% A1. 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:
$ d2 N- e& U0 M+ I+ \# `A. 8.28% 1 m9 Y0 e) W! ?3 ^! S0 {
B. 7.28% ) t+ M! u5 {6 }+ v# d% j* e+ |
C. 6.28% * L6 u- t$ N; f
答案和详解，登录后回复可见：
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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?
: H6 D3 p. {8 J3 {1 V| 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
& Y6 W3 [, M1 s ]: VB. Bond B
* k+ W+ s! f+ E- Y6 U5 C; W1 i1 B2 KC. Bond C ) K& C1 f8 w7 c& b; R5 E
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+ q* M, A: u% P3. 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:
3 L5 O& g8 ^3 B3 || 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. $104.20
& d$ d; n4 C3 V% lB. $100
( e4 A) a8 u% P% ]* N/ w9 \C. $98.74
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4. Using the BEY (bond-equivalent yield) spot rates for U.S. Treasury yields provided in the following table, the 6-month forward rate one year from now on a bond-equivalent yield basis is closest to:. t4 _- u) u% z2 J' F& A5 o% [. W
| Period | Years | Spot Rate | | 1 | 0.5 | 1.40% | | 2 | 1.0 | 2.30% | | 3 | 1.5 | 3.00% | | 4 | 2.0 | 3.50% |
A. 4.41% 5 l; K/ a \/ [5 @$ `1 R$ Y. w! c
B. 2.20% 2 y/ Q1 J; Z8 M% l" H2 E8 r
C. 2.30%
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9 C" y5 W4 l. Q$ K4 i- R, H4 E5. Elaine Wong has purchased an 8%
) T2 Y# {: I7 `) h' N, b6 Zcoupon bond for $1,034.88 with 3 years to maturity. At what rate must the coupon payments be reinvested to produce a 5% yield-to-maturity rate? % f% z$ ^4 q7 }2 Z' {+ g. w6 |
A. 8% / b: R- U* H( H6 `8 ?
B. 6.5%( N) k7 i" E; W! {! e/ X9 {1 E
C. 5% 8 S. u( a5 p! Z* B
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发表于 2016-1-6 09:16:16
发表于 2016-1-6 09:42:03
