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本帖最后由 一起学CFA 于 2016-1-6 11:31 编辑 . D, K6 Q. E/ R
3 O2 J8 E% o6 O7 O5 @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 $980.74, the YTM is closest to: + W7 g( s1 Z- q9 G6 i+ x, [( x
A. 8.28% # E2 y* C: @1 `; k0 [
B. 7.28% 9 ]9 \" B- W, H$ R6 `+ h! j. X. p
C. 6.28% . W; B/ b3 l. s! X& W
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. n1 h" C4 G1 w) s2 h! H0 C" O# S3 P; H2. Consider the three bonds in the following table. Which of the three bonds is most likely to have the greatest reinvestment risk? ! s# M' a {3 c5 Q% z B& j. |: Z( f
| Bond | YTM | Time to Maturity | Current Price | | A | 8% | 15 | $980 | | B | 8% | 15 | $1,000 | | C | 8% | 15 | $1,098 |
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A. Bond A + i! Y- K, f; }# Q6 h8 P
B. Bond B / H# |, H" ` i: }7 K, f
C. Bond C
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5 H# [* I0 F' _. Q2 F: s3. Using the U.S. Treasury forward provided in the following table, the value of a 2 year, 100 par value Treasury bond with a 4% coupon rate is closes to: : q2 U& w6 V' \3 d
| Period | Years | Forward Rate | | 1 | 0.5 | 1.1% | | 2 | 1.0 | 1.7% | | 3 | 1.5 | 2.2% | | 4 | 2.0 | 2.5% |
5 ~7 I, x6 ^ C$ R2 |A. $104.20 . B; h% j0 F. C' ^- Q, S
B. $100
5 S+ E9 y1 n' XC. $98.74 8 e2 G* m E* @: r: ]4 \% I
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v- g: }' d: b w4. Using the BEY (bond-equivalent yield) spot rates for U.S. Treasury yields provided in the following table, the 6-month forward rate one year from now on a bond-equivalent yield basis is closest to:% w U) M2 l5 S4 h# B. b4 O
| Period | Years | Spot Rate | | 1 | 0.5 | 1.40% | | 2 | 1.0 | 2.30% | | 3 | 1.5 | 3.00% | | 4 | 2.0 | 3.50% |
A. 4.41% 2 K; Q; {* }0 L1 l: d. O: v! [
B. 2.20% 7 b6 b- U' w. o# P9 q. K. p1 L: j3 v r
C. 2.30% % }9 Z/ k) w$ B+ \! X5 C
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& w" w$ Z8 Y* U/ W5. Elaine Wong has purchased an 8%
6 {: _7 n, n! m# ` t2 g5 {0 t) S- mcoupon 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? w( \3 Q" P% r" ?" {8 m
A. 8% 6 c7 H H( ^3 v+ T* l. q
B. 6.5%
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发表于 2016-1-6 09:16:16
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