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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:
$ ~9 ?4 ]" Q& b. m" s, k' hA. 8.28%
4 M' f- g# O0 r* o0 a0 Y2 JB. 7.28%
8 f! ]: P r' O9 K5 ~C. 6.28%
: w6 ~7 R3 l) B答案和详解，登录后回复可见：
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b0 S& Z6 i! Z6 X4 n2. Consider the three bonds in the following table. Which of the three bonds is most likely to have the greatest reinvestment risk?
& y- X* Y8 A8 y7 R4 ]4 K9 x+ p| Bond | YTM | Time to Maturity | Current Price | | A | 8% | 15 | $980 | | B | 8% | 15 | $1,000 | | C | 8% | 15 | $1,098 |
2 n, Q, i, v7 X9 KA. Bond A
* S' w: I9 x3 sB. Bond B
3 `8 Z3 h1 s" y0 \/ B% PC. 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:
: ~9 H3 `0 A' H2 N| 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. $104.20
2 C( E" N3 W7 t$ N' t& S7 }/ ^7 OB. $100 ( @) B4 \9 F3 s5 N/ @
C. $98.74
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4. Using the BEY (bond-equivalent yield) spot rates for U.S. Treasury yields provided in the following table, the 6-month forward rate one year from now on a bond-equivalent yield basis is closest to:
3 u( {9 [4 V F: t! g2 k| Period | Years | Spot Rate | | 1 | 0.5 | 1.40% | | 2 | 1.0 | 2.30% | | 3 | 1.5 | 3.00% | | 4 | 2.0 | 3.50% |
A. 4.41%
1 f( D0 ? P, j, j+ ^B. 2.20%
2 [- x/ h, f9 r1 m5 a oC. 2.30% 6 {9 `4 G" K/ F1 J' Q
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$ c2 k! N1 ^7 {( s. k' N, w( ]2 M5. Elaine Wong has purchased an 8% N- W3 {2 Y1 e! D) k$ p
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? 0 D% N# v# N" A. n
A. 8% * j+ }' j: q3 F* }+ M' r
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
