|
|
本帖最后由 一起学CFA 于 2016-1-6 11:31 编辑
/ o$ A9 Y5 j3 o* T- Q( i/ g8 z! D) X) M! Q! K9 W, k( E) _
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%
3 B# ?: H- R9 ~1 j' Y答案和详解，登录后回复可见： a% I4 o% P6 v9 A2 ~# j
- o5 c4 }: l% v3 A% {2 t+ V/ s2 x5 r, }
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 | $1,098 |
" m, [! y. X" ?7 o% HA. Bond A
4 w8 K( N. l! Z" BB. Bond B
4 s3 N& h; {: z% Z" ^C. Bond C 5 M# [8 R. b' Z# j
0 Q: N- P8 C8 K& D' V* g' ^+ t6 S5 I, K" v# [6 r
5 j7 M$ 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. $98.74
' P. U1 I; O: @( ]$ v1 W* z9 @ `, P8 Y
$ d, B! `/ |' f! Z5 l ]5 j7 f7 e0 S9 y: z2 y9 T8 o7 Z* k# K; p7 r
* 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%
8 f0 B4 J- Z( u8 o U9 z; m6 P/ x5 {
+ C) D$ A! H- x0 C6 o- |; \8 M' n: H( S) X! R* {' s5 L
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%
+ H4 P' a7 j0 O# V9 }2 d
& Z8 Q; T7 X* s0 u! [0 u
Z. ]& c9 [7 ]0 }8 T5 f+ [- \$ t8 e: J/ f1 ~) t
更多CFA习题可关注：高顿CFA题库
- g8 J# D/ F# N& G; \关注微信CFA-FRM （CFAFighting）CFA考试资讯抢先得
7 C# R% V. L# L( U
9 K3 [5 F# P% U' D F
7 Q m9 V3 O6 ~& F
9 y. W+ |1 D1 @; b/ w! t
! q- r; t r6 M; `9 Y% y- T0 h
|
|
[复制链接]
发表于 2016-1-6 09:16:16
发表于 2016-1-6 09:42:03
