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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 $980.74, the YTM is closest to:
/ v" P; z7 [8 O" Q3 r. XA. 8.28% 0 p; a B9 Z6 c V* g N- z K
B. 7.28% / D6 `8 C: f# t- ^- T) p
C. 6.28%
+ B+ o8 d. Q: J n' ~6 q2 I$ R答案和详解，登录后回复可见：
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8 Y% h4 R4 o" A7 k' F3 i2. Consider the three bonds in the following table. Which of the three bonds is most likely to have the greatest reinvestment risk? , F) E9 }5 n7 S+ e7 C. y6 B; F
| Bond | YTM | Time to Maturity | Current Price | | A | 8% | 15 | $980 | | B | 8% | 15 | $1,000 | | C | 8% | 15 | $1,098 |
7 W4 f* v5 a5 w! O EA. Bond A $ g! g; [; X, o. c
B. Bond B
' |* w: W* H4 u5 X- m- gC. Bond C
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/ m0 k; J( v7 c) G/ y% W: O' l3. 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: % v* \# C5 n# V$ Z. F
| 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
+ h* |& S" X; ^& E8 W" ZB. $100
. G$ E& s }6 c$ m& O2 hC. $98.74
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4. Using the BEY (bond-equivalent yield) spot rates for U.S. Treasury yields provided in the following table, the 6-month forward rate one year from now on a bond-equivalent yield basis is closest to:. W% `2 P) O0 G2 N4 i
| Period | Years | Spot Rate | | 1 | 0.5 | 1.40% | | 2 | 1.0 | 2.30% | | 3 | 1.5 | 3.00% | | 4 | 2.0 | 3.50% |
A. 4.41%
0 j; W; ?7 [4 S l: ?' yB. 2.20% 9 z3 W; k$ l% Z* Z
C. 2.30% 6 y: G X$ J- q
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5. Elaine Wong has purchased an 8%
+ T- x( x. |4 o ccoupon 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? $ R$ Z7 K% _' y. `/ I
A. 8% " Y( n/ }- _5 y# @
B. 6.5%3 O# V1 f3 V, z( T+ X2 M8 r! H1 H
C. 5%
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发表于 2016-1-6 09:16:16
发表于 2016-1-6 09:42:03
