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本帖最后由 一起学CFA 于 2016-1-6 11:31 编辑 # {0 P* v8 r; t+ s6 c/ w# T3 @" m
1 v- r, w1 c6 A- [! n6 U% R5 i1. 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 $980.74, the YTM is closest to:
: X6 z3 d Z: ]A. 8.28% # ]( g0 u4 Q0 b
B. 7.28%
( T& [1 u" R+ M8 \4 z `" B8 {C. 6.28%
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, \' j$ L1 R) g- C% m0 ]0 k4 Y2. Consider the three bonds in the following table. Which of the three bonds is most likely to have the greatest reinvestment risk? k# i3 ^+ ^: D/ q; q
| Bond | YTM | Time to Maturity | Current Price | | A | 8% | 15 | $980 | | B | 8% | 15 | $1,000 | | C | 8% | 15 | $1,098 |
! m3 T" C: F& L DA. Bond A : Q; r0 X: T% F4 k0 m, U
B. Bond B 5 M: F$ ^. J# v9 O# w
C. Bond C : Z" {; R0 c4 i% ^5 k" J! k: T6 d
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% {6 J. V0 S1 Y/ h/ S" E' I3. 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: % N3 t$ `$ L$ i4 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
8 C* J8 m) g! ~9 _B. $100
0 _. q/ E+ p7 pC. $98.74 - w+ y7 [ M5 o! D; V+ r8 o# a6 E- M
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4. Using the BEY (bond-equivalent yield) spot rates for U.S. Treasury yields provided in the following table, the 6-month forward rate one year from now on a bond-equivalent yield basis is closest to:0 [9 m3 _: Z* C+ V! s) K6 T* W
| Period | Years | Spot Rate | | 1 | 0.5 | 1.40% | | 2 | 1.0 | 2.30% | | 3 | 1.5 | 3.00% | | 4 | 2.0 | 3.50% |
A. 4.41%
5 L$ O x$ p! JB. 2.20% ) E& _3 u4 Q6 e
C. 2.30%
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5. Elaine Wong has purchased an 8%
+ X% \( Q# q" qcoupon 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? . P, ^% J' B+ \3 `1 \8 x
A. 8% u, x5 Z+ X& q& V) C
B. 6.5%; h) ~+ U n3 t2 h
C. 5%
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发表于 2016-1-6 09:42:03
