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本帖最后由 一起学CFA 于 2016-1-6 11:31 编辑 8 M( n- {% l( I$ c8 G/ G' @
7 M! {/ d! Q4 ^& p$ C" E' b7 Q* z1. 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:
- X# g' |& n3 l: Y y0 YA. 8.28% 0 E7 m1 q2 v" ~" A6 s" Z& s
B. 7.28% 6 R; Q/ O8 Q7 D* E' Z9 C) ^
C. 6.28%
8 y, ?! q7 s& n% z" `1 U答案和详解，登录后回复可见：3 @2 L' [7 i6 i2 M
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/ _1 S# }9 d- L e l: i2. Consider the three bonds in the following table. Which of the three bonds is most likely to have the greatest reinvestment risk? 0 R, Y1 t' i2 i" A+ |; D' U
| Bond | YTM | Time to Maturity | Current Price | | A | 8% | 15 | $980 | | B | 8% | 15 | $1,000 | | C | 8% | 15 | $1,098 |
+ G+ k0 E- [+ N# A* W0 ~' M* h9 @A. Bond A
8 d% H0 x2 T( e0 Q& ^B. Bond B
; M4 l2 {& m+ y: Z) x& U$ jC. Bond C $ j; a1 t# u- d
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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:
0 ~! E+ r+ p* @* B% v4 W3 S/ E| 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
5 D4 \# ?, Q* r" \& B- q+ e; E bB. $100
8 K# e. f& V" p$ o" q; H1 kC. $98.74
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4. Using the BEY (bond-equivalent yield) spot rates for U.S. Treasury yields provided in the following table, the 6-month forward rate one year from now on a bond-equivalent yield basis is closest to:) M) {* u! l- G" b' y4 [
| Period | Years | Spot Rate | | 1 | 0.5 | 1.40% | | 2 | 1.0 | 2.30% | | 3 | 1.5 | 3.00% | | 4 | 2.0 | 3.50% |
A. 4.41%
+ j1 e- E$ U `B. 2.20%
$ x d6 L' P: W+ ]; NC. 2.30%
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0 c5 D+ v( A8 [0 K5. Elaine Wong has purchased an 8%0 s, R2 ?6 q: n
coupon bond for $1,034.88 with 3 years to maturity. At what rate must the coupon payments be reinvested to produce a 5% yield-to-maturity rate? 1 P, V$ t3 [) L# |
A. 8%
, t+ a& [$ y& I, V K1 J, |4 Q: {B. 6.5%
* G) }( G" j/ O4 y5 g8 w; P' mC. 5% : h; z% c3 A% U( i* U, F4 [3 l
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发表于 2016-1-6 09:16:16
发表于 2016-1-6 09:42:03
