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本帖最后由 一起学CFA 于 2016-1-6 11:31 编辑 4 g! t/ d3 Z" X/ D
4 D- x7 L7 k) A6 f/ G( z1. 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 $980.74, the YTM is closest to:
& W0 \+ H! I& I8 N9 Y9 }8 r. jA. 8.28% 7 i# Y( B* Y3 k; y
B. 7.28%
# U, p$ E, u8 A5 oC. 6.28%
) W ~& v1 t" [4 r答案和详解，登录后回复可见：
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2. Consider the three bonds in the following table. Which of the three bonds is most likely to have the greatest reinvestment risk? # @+ H/ N1 O5 P1 H7 p. d# ?
| Bond | YTM | Time to Maturity | Current Price | | A | 8% | 15 | $980 | | B | 8% | 15 | $1,000 | | C | 8% | 15 | $1,098 |
+ D) @' }9 g. y, C$ \( q9 pA. Bond A - M9 \" p3 J3 d3 V1 J
B. Bond B 3 C/ a _5 H9 w( @
C. Bond C * Y" T4 [% h9 x# T% y+ j
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/ `% L, A) z4 Y% ], M3. 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: 7 c' J# ] M6 h4 v0 i% Y
| 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 9 _/ Z3 a& b; p _: J2 X% Q- P
B. $100 5 E5 A$ v6 @% x. S
C. $98.74
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4. Using the BEY (bond-equivalent yield) spot rates for U.S. Treasury yields provided in the following table, the 6-month forward rate one year from now on a bond-equivalent yield basis is closest to:
2 X: ~6 j& ?' O| Period | Years | Spot Rate | | 1 | 0.5 | 1.40% | | 2 | 1.0 | 2.30% | | 3 | 1.5 | 3.00% | | 4 | 2.0 | 3.50% |
A. 4.41% ( T" _6 h; c) H* L" X3 }
B. 2.20% 9 z. Q7 |, c5 c$ s* |- G
C. 2.30% ( B# _( L: n5 W" m3 x
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5. Elaine Wong has purchased an 8%
! u! e% t* r I9 z, w9 G! Z6 jcoupon 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?
& o% n: n( A2 g: i- X4 |A. 8%
3 b3 B% R: B" S- R- }( F' EB. 6.5%
& K0 z" _& E4 qC. 5%
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发表于 2016-1-6 09:16:16
发表于 2016-1-6 09:42:03
