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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 $980.74, the YTM is closest to:
- n2 X' ~' W" x ^/ P9 V; w+ I% _A. 8.28%
2 j2 J( T% e" L; V) fB. 7.28%
2 a2 ^7 u/ ?! x% D) m9 J& L( `7 w7 rC. 6.28%
4 O! u+ V) t! q7 [( G答案和详解，登录后回复可见：
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& W; |) Y: P! k$ H2 N' q2. Consider the three bonds in the following table. Which of the three bonds is most likely to have the greatest reinvestment risk? # x/ |$ [5 o& p1 A" |: z5 z+ D p
| Bond | YTM | Time to Maturity | Current Price | | A | 8% | 15 | $980 | | B | 8% | 15 | $1,000 | | C | 8% | 15 | $1,098 |
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A. Bond A
* Q; f1 ?% ~+ E Y) p, OB. Bond B % v! b+ k: o, \2 w5 D( z; F
C. Bond C # o4 r' p6 U+ B3 l g$ B- [# \4 E7 k
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( L9 K D3 @- D4 w3. 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 B2 d4 s: h3 ?1 p9 v/ q
| 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
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C. $98.74 . p" X; N/ n/ m/ `# O! \% }' v
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& i' J+ m2 g- O9 R8 ?& ]7 K8 R1 E4. 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:
# `0 J: C6 I9 Y1 W6 x/ ^| 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% 7 j2 V' e9 m7 Z2 {
B. 2.20% 9 K. V+ I" L3 Z& \
C. 2.30% $ Q, h1 j7 r1 w/ x- M( H/ x
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5. Elaine Wong has purchased an 8%
* B4 N9 Z: t; G! 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?
# j) ~, }: d3 @A. 8%
& N" M# K9 G3 g: r/ n) \7 _7 |B. 6.5%" _4 a, U2 l' R, d- d4 _
C. 5%
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发表于 2016-1-6 09:16:16
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