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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:
5 h* [) R. H0 o; x- W8 iA. 8.28% $ P9 D" I3 y% t. ~5 ~$ m
B. 7.28% ( d! Z0 Y! m j A& P
C. 6.28%
7 O$ b- v$ g0 ] z. V答案和详解，登录后回复可见：
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: e/ v# E) d/ H$ O7 \* V/ `8 z2. Consider the three bonds in the following table. Which of the three bonds is most likely to have the greatest reinvestment risk? 3 s3 L( m/ T8 n: b0 F# U4 K
| Bond | YTM | Time to Maturity | Current Price | | A | 8% | 15 | $980 | | B | 8% | 15 | $1,000 | | C | 8% | 15 | $1,098 |
* D, J8 }( I/ r& G9 [+ e/ oA. Bond A 2 L% e5 F+ Z h. v/ f
B. Bond B 2 m/ `: p b! h5 L
C. Bond C 3 |/ M; h& ~& m( A
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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:
; Z2 W, Z% d8 w+ |# v3 D6 t| 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
* y) V2 B% f* \: g. `: X" { bB. $100
) D2 H; b1 o7 }- lC. $98.74 * ]& ?& U5 @2 c4 v3 k' f
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/ E' Q5 a; g" }: I3 @7 \. M4. Using the BEY (bond-equivalent yield) spot rates for U.S. Treasury yields provided in the following table, the 6-month forward rate one year from now on a bond-equivalent yield basis is closest to:2 t5 t) R$ \. N" b F/ ]
| 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% 7 p+ r8 i% @) e1 Q2 L
B. 2.20% 4 J4 Y6 B. c: S2 o- ?! ^$ K0 v" ~
C. 2.30%
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5 W' G9 G4 Q1 p4 X! H A5. Elaine Wong has purchased an 8%
! F. a' q! @/ [& p [ @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? $ k7 W' V% V% n
A. 8% 5 w8 W7 I2 Q( W, }) g9 W+ C
B. 6.5%
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发表于 2016-1-6 09:16:16
发表于 2016-1-6 09:42:03
