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本帖最后由 一起学CFA 于 2016-1-6 11:31 编辑 # D! t/ Y$ U+ g' E# A* l
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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:
3 s" \4 l2 ~6 b! q7 o: CA. 8.28%
+ r6 O, g& T( B8 i0 J% hB. 7.28% ( p# j' w+ J7 U' e0 I9 }2 e
C. 6.28%
1 H3 J8 C8 H5 ^! |* Q- ~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? : D2 @0 J1 Z' `/ z- d: x* q S0 m
| Bond | YTM | Time to Maturity | Current Price | | A | 8% | 15 | $980 | | B | 8% | 15 | $1,000 | | C | 8% | 15 | $1,098 |
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A. Bond A
1 ]- [' s. n& p4 mB. Bond B : N8 @/ B) h. O$ o3 G7 d( {/ H
C. Bond C $ W" E/ P$ F; f3 b3 k( k, s% K
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6 R- `5 g! D$ e/ o+ @ {) K3. 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:
% ?8 t8 ?, E& A/ F; T" q: g" w! S| 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
- {3 o0 ?% Q8 Q# [; G A3 l+ `B. $100 ~8 `% S6 {) ?' m
C. $98.74
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4. Using the BEY (bond-equivalent yield) spot rates for U.S. Treasury yields provided in the following table, the 6-month forward rate one year from now on a bond-equivalent yield basis is closest to:
4 |$ g6 C- B: z1 c- q| 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% : Q; }& w" T; c2 \- n+ F
B. 2.20%
. }+ e' M: Y+ O& p7 d$ l GC. 2.30%
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, p, G* I2 E) Q) `. k8 H5. Elaine Wong has purchased an 8%+ J. }2 G B* y( ]
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? 2 I8 g/ {: G" y- O
A. 8% , ?' z, ?3 a1 m/ K- U
B. 6.5%
$ A& h+ F& w @9 o+ {0 \( x- e& |- \C. 5%
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