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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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8 U, H3 W* h& X& R1. 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:
0 r) R" ? z3 D# V# I8 L yA. 8.28% * x7 W* C/ X5 @! N8 \" Z6 I
B. 7.28% B+ ^) ^% O; H1 |% i. E3 S( u
C. 6.28% 2 O: @- D( j! M* c" N+ A6 e2 Q4 ]7 V
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? x! E/ j5 U J h) m4 Z
| Bond | YTM | Time to Maturity | Current Price | | A | 8% | 15 | $980 | | B | 8% | 15 | $1,000 | | C | 8% | 15 | $1,098 |
+ [0 o: `0 Y; V/ [7 y5 EA. Bond A
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C. Bond C 7 W# P$ o7 g" ~! J3 ~& N" C/ f. i E
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+ T6 p/ u% Q2 Y* D4 v1 g3. 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: ' q0 E5 ~6 U! Q2 S* l* Q( G
| Period | Years | Forward Rate | | 1 | 0.5 | 1.1% | | 2 | 1.0 | 1.7% | | 3 | 1.5 | 2.2% | | 4 | 2.0 | 2.5% |
0 k6 C0 b$ h; R8 C4 `. _A. $104.20 ( W7 e; P; ~" n
B. $100 $ }) I6 V4 k' G+ s6 \- i
C. $98.74
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4. Using the BEY (bond-equivalent yield) spot rates for U.S. Treasury yields provided in the following table, the 6-month forward rate one year from now on a bond-equivalent yield basis is closest to:
( T* O8 Z3 z J# z0 q5 r5 E| Period | Years | Spot Rate | | 1 | 0.5 | 1.40% | | 2 | 1.0 | 2.30% | | 3 | 1.5 | 3.00% | | 4 | 2.0 | 3.50% |
A. 4.41% , a) R: [) i; f5 u: T3 o5 D
B. 2.20%
- c8 {9 ?. x) i% I6 {C. 2.30% 5 X0 z9 Y/ p( |* m1 H Z# X1 l$ v5 C9 {
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7 ?9 ?* P9 `: x; t: k4 n5. Elaine Wong has purchased an 8%7 B/ O. q" _8 @
coupon bond for $1,034.88 with 3 years to maturity. At what rate must the coupon payments be reinvested to produce a 5% yield-to-maturity rate?
4 V1 z. }7 r$ n9 _A. 8% 5 W( x5 k, z& t+ S2 Q( V: K3 C1 ?
B. 6.5%7 Q* K* M1 q- G
C. 5% 3 x* h9 r4 D! k% G* y3 R
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