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本帖最后由 一起学CFA 于 2016-1-6 11:31 编辑 * I* g3 o1 L8 v, v; T* T
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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 $980.74, the YTM is closest to: 6 Y' L$ V* P8 X P% Q, h+ d; t
A. 8.28%
. z, H: q# h1 g! d9 K7 e" |B. 7.28%
8 |" h5 [1 ~" _. v. pC. 6.28% ~/ X9 ]! A9 h" Z% R# w
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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? % w, C) J9 a! T$ N! R: ]
| Bond | YTM | Time to Maturity | Current Price | | A | 8% | 15 | $980 | | B | 8% | 15 | $1,000 | | C | 8% | 15 | $1,098 |
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A. Bond A 6 W, k- }% }7 z" S6 L* u: t N
B. Bond B
& _7 k& |! F* SC. Bond C 0 Q, ~1 W+ y) |$ G
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" b/ D* z7 Z9 g5 m0 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: : W9 ?& @6 m- 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% |
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A. $104.20 " x6 d! U7 q' K; B u
B. $100 i% _7 x$ p$ a) ^
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:8 |' C) {8 U- }2 h
| 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%
5 l& R5 x& ] c5 C; oB. 2.20%
8 e8 n8 i% P' p# S, L+ SC. 2.30%
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5. Elaine Wong has purchased an 8%
' q6 U3 t) C/ v: S! Xcoupon bond for $1,034.88 with 3 years to maturity. At what rate must the coupon payments be reinvested to produce a 5% yield-to-maturity rate?
/ r7 p* C8 h! p4 L) z- ]A. 8% / c% A& ?2 z5 ^6 l
B. 6.5%
( t3 ?+ R! |9 A$ `4 CC. 5%
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发表于 2016-1-6 09:16:16
发表于 2016-1-6 09:42:03
