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本帖最后由 一起学CFA 于 2016-1-6 11:31 编辑 : c4 y B7 o$ b( x
( C; | c& \8 V# I7 b: _, i' J1. 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 $980.74, the YTM is closest to: * W# h! ?3 F* T" m5 O; U
A. 8.28% 3 s Q2 E' U# I" T( s* B+ Z# w
B. 7.28%
! [$ u- p$ H1 B0 v: ~C. 6.28% " t3 C$ x3 F1 q& A0 A+ l7 w* V
答案和详解，登录后回复可见：
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( S' e2 }, q8 s( Z2. Consider the three bonds in the following table. Which of the three bonds is most likely to have the greatest reinvestment risk?
/ @1 {$ [2 F# m& P% J| Bond | YTM | Time to Maturity | Current Price | | A | 8% | 15 | $980 | | B | 8% | 15 | $1,000 | | C | 8% | 15 | $1,098 |
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A. Bond A * \" r! H1 C; }* ~4 o
B. Bond B - `% E. ?! G2 W4 ^9 _- E: H
C. Bond C
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) T) w$ s/ @7 ^/ a) [+ Q6 q/ Z3. 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:
/ X. A K4 I4 W2 K| 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 U( c* n3 M U, S, P4 a O' X8 ?0 N
B. $100 9 i2 \- g. F, P. B( \
C. $98.74 6 S4 O8 G7 t `6 c, o& N. e
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! n0 L+ |; ?$ F1 U' G4 x! Y. V4. 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:6 ^: f: `! I' M- \
| 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%
9 P, t% ~ U) h2 H3 x9 y3 b. ?/ |4 @B. 2.20% # N [# x! U' ~+ S( P
C. 2.30%
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5. Elaine Wong has purchased an 8%
- x( P9 j- [# {; [( S. a4 ccoupon bond for $1,034.88 with 3 years to maturity. At what rate must the coupon payments be reinvested to produce a 5% yield-to-maturity rate?
) p% y- F* M$ E) c8 ~, nA. 8% 9 D% [% ?, v/ q* [, t
B. 6.5%
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发表于 2016-1-6 09:42:03
