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本帖最后由 一起学CFA 于 2016-1-6 11:31 编辑 ( t; t- X$ d8 ^
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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:
8 D- d- y; f7 R0 ~3 WA. 8.28% P) I: ?5 s4 `/ M. K
B. 7.28% ) r- l) ]& u. c. M8 [# W2 s' O5 G
C. 6.28%
5 V7 H1 A* y8 z+ \% Q答案和详解，登录后回复可见：
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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?
; ^, \% G& k" ?| Bond | YTM | Time to Maturity | Current Price | | A | 8% | 15 | $980 | | B | 8% | 15 | $1,000 | | C | 8% | 15 | $1,098 |
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A. Bond A * q: e- D9 }8 C8 g
B. Bond B
6 y/ k2 ?; Q$ Q3 `8 ~" I0 |2 S& YC. Bond C ( `8 \ q4 y8 [7 g/ o9 I2 W
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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:
% `& y$ H5 ^6 ~& h" g. t$ l| 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. $104.20
6 w; Q: B$ R+ z: D$ @B. $100
1 _" ^0 A& F; Y9 IC. $98.74
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, o6 g( m- Q1 [8 N7 e) b. _/ J4 D" E6 q4. Using the BEY (bond-equivalent yield) spot rates for U.S. Treasury yields provided in the following table, the 6-month forward rate one year from now on a bond-equivalent yield basis is closest to:
9 f4 v- s) E" F8 P+ Z( C8 A| Period | Years | Spot Rate | | 1 | 0.5 | 1.40% | | 2 | 1.0 | 2.30% | | 3 | 1.5 | 3.00% | | 4 | 2.0 | 3.50% |
A. 4.41%
- y$ E6 u. l1 N6 w' P6 P: hB. 2.20%
% s3 i' O( ?: _8 {2 F# x9 tC. 2.30% + ~+ D& h$ y( `8 U3 R( S! d2 T
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5. Elaine Wong has purchased an 8%: l5 C) r$ K$ m& O# S. C& V
coupon bond for $1,034.88 with 3 years to maturity. At what rate must the coupon payments be reinvested to produce a 5% yield-to-maturity rate? # t- [0 ^/ s1 c+ \
A. 8%
6 D- ~# i' ~. y: C) M& t7 oB. 6.5%8 I9 S$ h3 H1 _# ~5 f% g
C. 5%
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发表于 2016-1-6 09:16:16
发表于 2016-1-6 09:42:03
