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本帖最后由 一起学CFA 于 2016-1-6 11:31 编辑 + M) Y* \) l7 `# z9 B1 o
$ ?$ M6 `* @+ o, A5 Y) s; N2 l1. 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 $980.74, the YTM is closest to:
) ?/ p0 ^0 }3 fA. 8.28%
2 M$ l+ c- b3 e1 p" c, a2 rB. 7.28%
7 j( c: a: A9 VC. 6.28%
; K4 p9 y9 U( V5 f答案和详解，登录后回复可见：' q Y1 @' P- f9 q' V
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) P* }7 l, d; m& d2. Consider the three bonds in the following table. Which of the three bonds is most likely to have the greatest reinvestment risk?
3 \( x- {# D, q* ~# B% p( K| Bond | YTM | Time to Maturity | Current Price | | A | 8% | 15 | $980 | | B | 8% | 15 | $1,000 | | C | 8% | 15 | $1,098 |
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A. Bond A
: e' u/ r& N/ K, G6 }8 wB. Bond B
3 m1 p) R# T2 R, t- T+ c0 q* wC. Bond C
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. y {2 C) y3 w1 ~6 G! A: R, w# T3 o: {$ a% f# B* k! ^
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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:
* I" I5 r% V t6 v a| Period | Years | Forward Rate | | 1 | 0.5 | 1.1% | | 2 | 1.0 | 1.7% | | 3 | 1.5 | 2.2% | | 4 | 2.0 | 2.5% |
8 M# ?: \# u% |% ]' w; O% bA. $104.20
* J* Q$ H, l4 b+ b. SB. $100 : s! |8 x2 `7 a( P6 ~; Z9 Q0 k
C. $98.74
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, |. Q% \( F+ `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:
2 }) h0 c* k8 ^3 M# t| 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% & F8 E( t/ m+ d; p
B. 2.20%
1 q8 j, r3 s; D1 R! wC. 2.30% ! E; ~; ]! f$ A( Z+ E9 c
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' z2 ~1 q8 S4 A+ e: r5. Elaine Wong has purchased an 8% F" b8 S/ S$ z1 \3 u! A( m
coupon bond for $1,034.88 with 3 years to maturity. At what rate must the coupon payments be reinvested to produce a 5% yield-to-maturity rate?
% Q! f- d' e1 X7 eA. 8%
2 p+ ~* \$ T* T, b7 F, J5 iB. 6.5%
! L: n% m( A; ?1 @+ c/ ^; X7 a% hC. 5% ) S! n$ F, e/ G' H) Y1 y! A3 g
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发表于 2016-1-6 09:42:03
