|
|
本帖最后由 一起学CFA 于 2016-1-6 11:31 编辑
, L& K: {0 O3 E$ [4 M- s' |% d9 u: A Q8 W8 Z& O8 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 $980.74, the YTM is closest to: 9 n; X; N$ A9 P; o
A. 8.28% / n& F8 b( x; k$ A& T! I. z
B. 7.28% 0 W- Z- [. l$ k4 ?. a$ S
C. 6.28% 6 i x' x4 E' O) Z5 f4 G n2 C
答案和详解，登录后回复可见：1 \) C2 q2 k/ H& ^# m* _
0 ?$ r9 U) Q& @$ V7 W* N
) ^. {7 g9 c$ \' d V3 A2. Consider the three bonds in the following table. Which of the three bonds is most likely to have the greatest reinvestment risk? ( p/ A% A" B7 o2 b5 j* R/ _
| Bond | YTM | Time to Maturity | Current Price | | A | 8% | 15 | $980 | | B | 8% | 15 | $1,000 | | C | 8% | 15 | $1,098 |
2 j/ g' I& b, K Z% {
A. Bond A
; Y+ L! ]& d+ L) pB. Bond B
% l( M. Y" Z# H EC. Bond C
9 Y' k8 I6 N6 |% j
2 ?/ V: j$ W% X6 x3 f! E) T: s8 q- d. Y; d0 N+ P
' c2 o$ V" X% n7 Z' m3. 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: & l8 u! U# {% A$ _0 P9 K
| Period | Years | Forward Rate | | 1 | 0.5 | 1.1% | | 2 | 1.0 | 1.7% | | 3 | 1.5 | 2.2% | | 4 | 2.0 | 2.5% |
6 {4 }! q( V: I: M) QA. $104.20 % p q9 h+ O" q; }
B. $100
% ?% q6 z$ Q7 K( s1 U7 b3 V4 v# OC. $98.74
9 l3 ]' k" E. m; R$ b0 M
6 a( z5 X4 C0 z X+ G# ]; z: ?) z7 e3 l! L( ?
) Y8 S4 v7 s. b2 Z- I j8 m
; f$ t+ a$ F; ?/ u4. 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:
+ `" r& H$ @$ m| 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% 8 t# J! O4 a; X) h U, `
B. 2.20%
6 X6 L; o9 T7 P& ZC. 2.30%
x3 s# m( u) D6 @
( J4 z P! z$ v
" M4 }# p' u G: X2 r2 g5 o2 r0 ^$ f. W r( ^8 [
5. Elaine Wong has purchased an 8%
$ j# }1 o x9 ycoupon bond for $1,034.88 with 3 years to maturity. At what rate must the coupon payments be reinvested to produce a 5% yield-to-maturity rate?
, \6 y; k8 B# W. n$ D/ NA. 8% 9 S( |0 L( S0 j$ c
B. 6.5%
9 E5 b4 D' r' S4 E8 t7 JC. 5% 9 f' E8 M9 u" G& L7 i
, l- G+ W, ^; i2 d8 B
) T0 R2 d1 e0 O3 ~/ W* W3 ?) F W& r+ q3 q7 h; n. R6 l
更多CFA习题可关注：高顿CFA题库
4 r6 i8 @& l7 o9 Y0 J关注微信CFA-FRM （CFAFighting）CFA考试资讯抢先得) d% l% n8 r- f- M
1 P0 @ S% ]3 c6 O
* F0 e' C, y( P& g! R. R7 R
# C9 y5 P' V8 C F) k8 t; k4 |% ]+ T h5 D( [0 _; D3 z( R, V8 x
|
|
[复制链接]
发表于 2016-1-6 09:16:16
发表于 2016-1-6 09:42:03
