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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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: n& G7 d% i+ |! @% r, a- F1. 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 $980.74, the YTM is closest to:
* U0 u. C% @8 t6 x# N lA. 8.28% 6 y; g a$ e# ]" v$ a: f _
B. 7.28%
% K* k# A: |( D& aC. 6.28% + z6 W8 p, s2 f9 V' {# |7 w
答案和详解，登录后回复可见：% c1 _# f1 N8 B& ?( l1 d
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# J- L; K7 @' M9 R/ D+ e2. Consider the three bonds in the following table. Which of the three bonds is most likely to have the greatest reinvestment risk?
) p: S5 d. H! `! j| Bond | YTM | Time to Maturity | Current Price | | A | 8% | 15 | $980 | | B | 8% | 15 | $1,000 | | C | 8% | 15 | $1,098 |
& x; \7 V/ F# i. MA. Bond A : {" Y8 J7 T9 j' L) U: U6 T
B. Bond B . M) f- i+ g% ~. t" @( Y5 @
C. Bond C - p% _- C3 A4 @ R. l
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4 p% Y5 l; J" y9 e7 }! O6 X3. 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:
& [: w6 m) n. d" |" s5 T% [| Period | Years | Forward Rate | | 1 | 0.5 | 1.1% | | 2 | 1.0 | 1.7% | | 3 | 1.5 | 2.2% | | 4 | 2.0 | 2.5% |
; v0 m" ? D7 T. v9 a3 HA. $104.20
4 \ j! w2 t* E: r6 bB. $100
1 v' G4 B2 R: E& m/ C+ L v. e1 M9 nC. $98.74 . Z/ f: `3 r) {% [
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# E7 X) P3 M: g. ~) ]% m2 T4. 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:9 f7 E0 {0 K- i; }4 F
| 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%
: w; f1 E/ e6 |0 |( {' V0 ] f. D, WB. 2.20% ( u& n5 A& U6 ^- Y/ t4 f6 x* w- T
C. 2.30% , r0 }; g" ]9 x! |7 W7 s# N
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, f/ [. t' t( H5. Elaine Wong has purchased an 8%
4 p* X/ |& @, X8 Z X+ ^& Ncoupon bond for $1,034.88 with 3 years to maturity. At what rate must the coupon payments be reinvested to produce a 5% yield-to-maturity rate?
( R. w, t0 ~6 v i& O2 OA. 8% ( t2 y% b, x) G1 i2 Z; |9 z$ c
B. 6.5%
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