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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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: a5 |7 m) r% q7 w1. 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:
8 |' P4 A2 l4 h y8 ~A. 8.28%
# K1 ~0 G5 y7 T' |B. 7.28%
: V2 i' `: B! t3 x% eC. 6.28%
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, G: n. N2 l( K+ \, x2. Consider the three bonds in the following table. Which of the three bonds is most likely to have the greatest reinvestment risk? ) E) G7 w8 m; l s
| Bond | YTM | Time to Maturity | Current Price | | A | 8% | 15 | $980 | | B | 8% | 15 | $1,000 | | C | 8% | 15 | $1,098 |
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A. Bond A % t+ [$ {+ }% y; t! |; ]
B. Bond B ) A' j6 f4 G1 u9 c! c
C. Bond C
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) e& N" P9 O, R3 S* |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:
4 @/ n3 Z" z3 E9 U( M| Period | Years | Forward Rate | | 1 | 0.5 | 1.1% | | 2 | 1.0 | 1.7% | | 3 | 1.5 | 2.2% | | 4 | 2.0 | 2.5% |
x! W9 Z6 e0 a: k- w# j+ IA. $104.20 5 {0 I; s' y$ _4 j, t _$ q2 A
B. $100 # h. {& G% o' b0 r) D
C. $98.74 ! h' d+ F6 g5 p1 u
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4. Using the BEY (bond-equivalent yield) spot rates for U.S. Treasury yields provided in the following table, the 6-month forward rate one year from now on a bond-equivalent yield basis is closest to:
3 ~! y; r' E2 z5 M8 e' Z& U, l" o| Period | Years | Spot Rate | | 1 | 0.5 | 1.40% | | 2 | 1.0 | 2.30% | | 3 | 1.5 | 3.00% | | 4 | 2.0 | 3.50% |
A. 4.41%
) ]. C- ]. q) r! [B. 2.20%
- s: e2 G2 M: o$ P: o" W& {C. 2.30%
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# v4 m# n4 S( T9 J5. Elaine Wong has purchased an 8%- Y0 P# [! Z( L) N
coupon 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?
6 x% @' X& d# M" |7 J5 @A. 8% $ d$ {* S {6 h9 [1 s: N
B. 6.5%% C5 L, [$ f' [4 ^
C. 5%
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发表于 2016-1-6 09:16:16
发表于 2016-1-6 09:42:03
