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本帖最后由 一起学CFA 于 2016-1-6 11:31 编辑 " G; P+ B* L; }* I' x
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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 $980.74, the YTM is closest to: + c) G- d, T. O
A. 8.28%
. s+ N. u6 F. D/ GB. 7.28% 8 h* ]* d3 ?' x$ @8 {
C. 6.28%
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N/ J# _! a1 K2. Consider the three bonds in the following table. Which of the three bonds is most likely to have the greatest reinvestment risk? / Q7 h) F. _( D( n1 y- ~2 L/ i
| 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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B. Bond B
$ u, m5 Y! E& D% T- SC. 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: - p, [ c+ @2 ]7 g
| Period | Years | Forward Rate | | 1 | 0.5 | 1.1% | | 2 | 1.0 | 1.7% | | 3 | 1.5 | 2.2% | | 4 | 2.0 | 2.5% |
+ ?. v0 _: L |( f. z' F2 rA. $104.20 3 j- Z0 ^( \2 r
B. $100 4 v j% a+ S% w9 b" L
C. $98.74
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4. Using the BEY (bond-equivalent yield) spot rates for U.S. Treasury yields provided in the following table, the 6-month forward rate one year from now on a bond-equivalent yield basis is closest to:8 f5 Y$ `# L0 x, \2 K3 Z
| 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 H" ^+ |7 z: c8 t8 T J4 L
B. 2.20% * d% B Q8 M$ _! l4 R" B
C. 2.30%
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0 N6 R9 @% C: d2 ^1 w2 o7 {5. Elaine Wong has purchased an 8%
! }* ]/ \7 b2 Tcoupon bond for $1,034.88 with 3 years to maturity. At what rate must the coupon payments be reinvested to produce a 5% yield-to-maturity rate?
( Q$ `- J6 Y; q/ xA. 8% ' l" {8 c; k' @' w' n d0 d; L' _
B. 6.5%5 R% J+ ^( z O
C. 5%
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发表于 2016-1-6 09:16:16
发表于 2016-1-6 09:42:03
