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本帖最后由 一起学CFA 于 2016-1-6 11:31 编辑
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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 $980.74, the YTM is closest to: & s9 y: \, @- o9 I, {
A. 8.28% 5 ]% ^" M! a0 |5 X3 u* J
B. 7.28% 5 Q- A5 _/ j! H0 S7 q
C. 6.28%
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1 j9 t: r$ B( n& W' o8 A' z/ c2. Consider the three bonds in the following table. Which of the three bonds is most likely to have the greatest reinvestment risk?
& M4 y0 a* Z5 j7 t* F0 A! K- [| Bond | YTM | Time to Maturity | Current Price | | A | 8% | 15 | $980 | | B | 8% | 15 | $1,000 | | C | 8% | 15 | $1,098 |
9 U7 v4 }% W& r& l5 ^3 E; {: o! mA. Bond A 0 K3 W7 T4 A2 p( N! A6 S+ p! L
B. Bond B
9 @) p& C1 @7 f; i' {/ s* sC. Bond C
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3. Using the U.S. Treasury forward provided in the following table, the value of a 2 year, 100 par value Treasury bond with a 4% coupon rate is closes to:
. E0 A8 c1 g) n/ x$ l* c$ W5 }8 p| Period | Years | Forward Rate | | 1 | 0.5 | 1.1% | | 2 | 1.0 | 1.7% | | 3 | 1.5 | 2.2% | | 4 | 2.0 | 2.5% |
( b, v# G9 U! |- ^6 L6 t* f- |A. $104.20 2 I7 J a! w G
B. $100 / v3 j: L J7 J. P2 \
C. $98.74 ' T7 i: b* F* R1 l# C, p! ]( c
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. S& z" R8 h! |7 a+ V" h8 Y/ ]! W4. Using the BEY (bond-equivalent yield) spot rates for U.S. Treasury yields provided in the following table, the 6-month forward rate one year from now on a bond-equivalent yield basis is closest to:) Z$ g" `# Q0 [; K, c; g/ i, {
| 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%
% k2 z( l% ~2 hB. 2.20%
9 R% @$ L6 `) ]4 VC. 2.30% * c6 Q# y+ |% f& e( e
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8 G7 i* T+ m' F8 g' q2 c5. Elaine Wong has purchased an 8%
1 p: J. j, d3 a' j) e1 {coupon bond for $1,034.88 with 3 years to maturity. At what rate must the coupon payments be reinvested to produce a 5% yield-to-maturity rate?
; ~$ [9 m! z0 O2 X# |7 g7 }A. 8% ( p; I- e6 v* ], d5 C; K
B. 6.5%
2 [" x) A& c8 x* I, Q/ dC. 5% 0 g' x" R( S( Y7 G1 e( o9 T
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发表于 2016-1-6 09:16:16
发表于 2016-1-6 09:42:03
