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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 $980.74, the YTM is closest to: * R+ s/ |7 _+ |- J, O
A. 8.28%
( n0 K4 v% E% a& \- w( AB. 7.28%
* Y* j# }3 M- y4 x$ i7 qC. 6.28% , X8 Y" @6 h' A8 v
答案和详解，登录后回复可见：' K, H' Z' v$ R: f5 F
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& s1 s! ^& { Q5 c- D0 m2. Consider the three bonds in the following table. Which of the three bonds is most likely to have the greatest reinvestment risk? ) {) k! }5 M8 ^% U1 e
| Bond | YTM | Time to Maturity | Current Price | | A | 8% | 15 | $980 | | B | 8% | 15 | $1,000 | | C | 8% | 15 | $1,098 |
/ n5 L N: K2 P9 c6 t$ g2 g" fA. Bond A
: f( x* [, G: _: r" C# }6 BB. Bond B 7 c) e# _$ t1 g. _8 t: T
C. Bond C
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# a* p& m5 I' |- a# u3. 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: 6 D3 c- M2 M' o' y6 i
| 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. $104.20
* R# X# m$ X. g' F% x( iB. $100
3 v) m9 N: L% Y4 {+ ]6 |- bC. $98.74
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! V6 M. i' v. S. [) ?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:
' [9 j b- x) \- n, H6 n. ~/ a| 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 q. \# R9 z) m4 |4 n% HB. 2.20%
* M8 o# n- b8 TC. 2.30%
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4 y/ n3 b8 X& o, q& p. ~0 H5. Elaine Wong has purchased an 8%
3 r0 q# O- z8 `0 X; ~( Lcoupon bond for $1,034.88 with 3 years to maturity. At what rate must the coupon payments be reinvested to produce a 5% yield-to-maturity rate?
4 f {5 g- p" n% Q1 A6 P$ EA. 8% 0 u& L' ~: L: F
B. 6.5%
" _( u5 F% L$ [$ q2 y2 O) TC. 5% + r/ j |6 n* I- I
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发表于 2016-1-6 09:16:16
发表于 2016-1-6 09:42:03
