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本帖最后由 一起学CFA 于 2016-1-6 11:31 编辑 2 m6 Q, t0 q. T0 A$ S
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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:
/ o; L1 A8 H/ [; vA. 8.28%
$ s+ @7 k* D) x6 V6 G" x' ^B. 7.28%
4 K% x8 F' {: g: I1 z* ~, h: {C. 6.28%
7 m$ h# \ c! O6 w答案和详解，登录后回复可见：/ ^8 }! t$ `- Z# F) _0 {2 H& A# J- m
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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? , `/ Y7 o) i# u+ j! d3 P4 m x
| Bond | YTM | Time to Maturity | Current Price | | A | 8% | 15 | $980 | | B | 8% | 15 | $1,000 | | C | 8% | 15 | $1,098 |
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A. Bond A
2 O! W3 v( }, j: {B. Bond B 3 X0 n2 c4 N7 O
C. Bond C
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3. Using the U.S. Treasury forward provided in the following table, the value of a 2 year, 100 par value Treasury bond with a 4% coupon rate is closes to:
7 }" H! T6 j- e* }" D/ {, j: x| Period | Years | Forward Rate | | 1 | 0.5 | 1.1% | | 2 | 1.0 | 1.7% | | 3 | 1.5 | 2.2% | | 4 | 2.0 | 2.5% |
& i' O/ a; `& M( |$ S+ c& A6 uA. $104.20 - _* ~0 M7 |7 H2 ^0 z
B. $100
" h8 L5 O$ A" \; kC. $98.74 ! t4 U* [# e$ @# G( j
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8 F1 @, ^' U* a0 e& u) D1 x4. 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:, E1 V. N6 k7 ^: e7 f( ~
| 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%
0 y5 p7 h3 V( e) Q2 X) jB. 2.20%
4 N0 x' T! l+ S: n w2 _* RC. 2.30% % c7 M7 m( n0 r1 M% ^3 J
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5. Elaine Wong has purchased an 8%
: P; Q/ x5 S3 A; N2 Acoupon 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 b- E; k- q1 r2 W' c5 ~A. 8% $ z( W8 s4 u7 \# L& P+ M. W! v3 d
B. 6.5%
5 L) X! d1 M) t# I: _ Y4 v& `/ PC. 5%
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发表于 2016-1-6 09:16:16
发表于 2016-1-6 09:42:03
