|
|
本帖最后由 一起学CFA 于 2016-1-6 11:31 编辑 . \+ |, S* Q* O
8 e1 }0 N5 F6 y p; d+ O
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 $980.74, the YTM is closest to:
' M' E9 ~1 Q0 u( \A. 8.28% ) I x5 L$ h2 j( T0 [
B. 7.28% , s5 i# ~0 g( M1 j/ j6 P, l2 f2 i( r
C. 6.28%
V. M' N3 d/ z, a答案和详解，登录后回复可见：
3 U" Y( w# z A
1 ~1 s, Y6 w5 |; k# {
0 E+ N, L7 H O) A2. Consider the three bonds in the following table. Which of the three bonds is most likely to have the greatest reinvestment risk?
! ?, [2 n+ z1 Z3 e| Bond | YTM | Time to Maturity | Current Price | | A | 8% | 15 | $980 | | B | 8% | 15 | $1,000 | | C | 8% | 15 | $1,098 |
' i) C W* ]6 z A& E; s( k7 X
A. Bond A
D: J/ c% x8 F# v9 Z4 }% g2 ZB. Bond B
+ ] _- ^3 T, q: wC. Bond C
/ u Y$ {# J* J1 W9 L0 z1 m
( h4 N! Z" u& l( `
! N' q) Y. o$ c5 a8 G% d. V6 C+ K2 X: S* @
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:
; Z" A/ L5 U6 M| Period | Years | Forward Rate | | 1 | 0.5 | 1.1% | | 2 | 1.0 | 1.7% | | 3 | 1.5 | 2.2% | | 4 | 2.0 | 2.5% |
! p! X1 B/ |0 k# m! SA. $104.20
~" L+ D7 w2 W3 Y2 w) nB. $100
5 p8 `5 |- X y3 w! v UC. $98.74
3 h4 I8 i, M, E8 }4 ]
7 _5 E4 Q4 M3 @* Y! v% D7 U( F+ l; J& ` ^- ~ w) u
x- J" g: |7 G* z J7 f& u# U" B- V( R8 O5 o3 x
4. Using the BEY (bond-equivalent yield) spot rates for U.S. Treasury yields provided in the following table, the 6-month forward rate one year from now on a bond-equivalent yield basis is closest to:
1 y5 G$ T: u% O; R3 |: d| 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%
' U& s9 m, i1 y4 S$ tB. 2.20%
; A! X0 Y. i1 Y- E) W" G- g: C) LC. 2.30%
7 W' g m+ F; K9 J+ \ ~8 [9 U: J( g9 F) C
% r6 {. x5 z$ h# g1 ~, E ^3 \% r: A; k$ w, a' P2 E
5. Elaine Wong has purchased an 8%
7 ^4 X, U) Y" _$ j; c* Ncoupon bond for $1,034.88 with 3 years to maturity. At what rate must the coupon payments be reinvested to produce a 5% yield-to-maturity rate? % T" N$ a1 h' L6 |( h3 C
A. 8% 4 P+ ~' M' K( `& E7 a6 n' H
B. 6.5%3 f1 s$ Z& V }8 V7 ?
C. 5%
6 B4 q- ^1 H- k- L3 e" G
" Y. _2 k! p0 d Q* {) K1 ~ b6 t6 A1 s0 m J
0 d* ^7 w& u2 v5 F8 m3 q
更多CFA习题可关注：高顿CFA题库' I" D" p1 r7 f7 Y5 x
关注微信CFA-FRM （CFAFighting）CFA考试资讯抢先得7 p; p- K( s3 i& |9 R. F- y
. ~* o% q2 }* \% `* S# d+ s" c0 F. f1 X8 k
2 N$ _+ E1 t, @% P' y6 {- C& s7 }1 j6 u$ y' \: |4 V
|
|
[复制链接]
发表于 2016-1-6 09:16:16
发表于 2016-1-6 09:42:03
