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本帖最后由 一起学CFA 于 2016-1-6 11:31 编辑 " V/ p) a/ w7 [+ j
$ E# F2 m* F, y- N9 I1. 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 $980.74, the YTM is closest to: + A4 b+ h) U$ Q u/ j
A. 8.28% 8 K3 S" Y# r3 h1 V R
B. 7.28% 0 c7 Y6 x- ~- X5 n7 `
C. 6.28% . b3 O! {; x) f4 h9 q
答案和详解，登录后回复可见：! W0 |/ F! d7 d- W0 A
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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?
. c' x* _5 a3 L# 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
7 a3 k7 E/ F" g, R7 lB. Bond B
W8 @7 n+ ^, k" e- U, {C. Bond C 3 N- }, C' U# D. E7 q' z( L( `
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! h8 e5 ?* b( G% A! u3 A F3. 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:
- n1 ]% p2 Y: w4 S& q| 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 d# e( G% X' Y1 C# OA. $104.20 - T+ g0 H+ y. u. x' o% M) w9 t
B. $100 9 ^$ |' ]" c i; U0 ?
C. $98.74
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- P& W& [8 g; R* ]$ `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:8 j3 d8 p2 |" ~6 T
| 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%
- D: l" h" @! D, g1 r+ GB. 2.20% 5 `4 K7 X) |$ ?6 T! S
C. 2.30%
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5. Elaine Wong has purchased an 8%
4 V5 I4 I$ E! scoupon 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? 8 k5 q8 d1 E! G& Q* p- f
A. 8%
4 r8 J# W# l }, F- b* dB. 6.5%
$ Q0 T4 V) e' Q; g; v5 f% k# o: n& lC. 5%
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发表于 2016-1-6 09:42:03
