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本帖最后由 一起学CFA 于 2016-1-6 11:31 编辑 ?+ ^3 @" G- c& c# ^
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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 $980.74, the YTM is closest to: 6 ]$ k: o* ]) W; d) D' S
A. 8.28%
% A8 v! r1 E9 F4 n+ d! BB. 7.28% 0 x& _+ N/ \1 a9 H0 ]' V7 f4 j
C. 6.28% 5 k" R- F& N6 ]/ t) T
答案和详解，登录后回复可见：
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9 j6 b+ ~# @8 ? G: n0 c, Q- R; P2. Consider the three bonds in the following table. Which of the three bonds is most likely to have the greatest reinvestment risk? . W$ c [, a" Z8 d' Q$ J
| Bond | YTM | Time to Maturity | Current Price | | A | 8% | 15 | $980 | | B | 8% | 15 | $1,000 | | C | 8% | 15 | $1,098 |
8 q* i. d4 w/ O" q8 L0 `A. Bond A - E9 o7 l( Z( K) L
B. Bond B " X: h0 u: M! o" r$ x
C. Bond C
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, H) m5 _1 j; U& _% u3. 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:
, G% X, C s! x| Period | Years | Forward Rate | | 1 | 0.5 | 1.1% | | 2 | 1.0 | 1.7% | | 3 | 1.5 | 2.2% | | 4 | 2.0 | 2.5% |
0 O6 m- v% I7 W/ B$ b, }+ W ~4 u% RA. $104.20
. {1 n- q' j* `( lB. $100
% Z) E* E& t n8 b8 t- t) yC. $98.74 / t. O6 N9 j# U, Y: M% w, ~- d
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% \0 I4 M R4 H" N7 t1 c2 N# N4. 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:
L6 D# d0 X# F3 l4 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%
( s# V& }" r0 I5 JB. 2.20%
. K! z! C8 u7 `1 Z. \/ ]C. 2.30% % |! `8 Y* m) n8 c1 i( ^0 B' M7 d
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, ~. Z4 \5 o! _+ x, M5. Elaine Wong has purchased an 8%; ?) C5 A9 y. X. s& M b
coupon bond for $1,034.88 with 3 years to maturity. At what rate must the coupon payments be reinvested to produce a 5% yield-to-maturity rate?
! @. H9 e; W8 ^- ~! z$ j& C1 `A. 8% + W: i2 D: u0 q% j `4 V8 H+ w
B. 6.5%5 z5 n: }: o1 Q+ X9 q, D! F
C. 5%
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