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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: : B \( `+ O2 @0 @$ B- g, z
A. 8.28%
$ h( o! D$ ~% T5 e, ^, f( O% Z6 nB. 7.28% : O% H. X! L6 `. X* C$ P6 m
C. 6.28% , n7 o% i) }$ X8 J1 g2 [6 K
答案和详解,登录后回复可见:7 z. ?# o& J" g1 [ e
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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?
' a8 C. p4 G' ^5 H& _8 C7 b1 E Bond | YTM | Time to Maturity | Current Price | A | 8% | 15 | $980 | B | 8% | 15 | $1,000 | C | 8% | 15 | $1,098 | # R2 }; B0 f" r5 t' D" F" _
A. Bond A - _5 U/ d8 f( c- W7 \
B. Bond B
/ [$ _- u0 r5 L, V( |C. Bond C
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3 v5 {# L. L- m. L# O" e3. 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:
. o8 C$ I: ]9 m8 a* l Period | Years | Forward Rate | 1 | 0.5 | 1.1% | 2 | 1.0 | 1.7% | 3 | 1.5 | 2.2% | 4 | 2.0 | 2.5% | 0 M q* [- s b8 `+ O
A. $104.20
1 x& Y2 e& N& lB. $100 ' H1 o* E" I5 ^
C. $98.74 - f- @1 g/ t, B: C+ S4 {
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4. Using the BEY (bond-equivalent yield) spot rates for U.S. Treasury yields provided in the following table, the 6-month forward rate one year from now on a bond-equivalent yield basis is closest to:
% M4 h1 m& E# C7 f Period | Years | Spot Rate | 1 | 0.5 | 1.40% | 2 | 1.0 | 2.30% | 3 | 1.5 | 3.00% | 4 | 2.0 | 3.50% | A. 4.41%
5 R- r$ e3 l1 r8 m. k' E- U- eB. 2.20%
1 U; n4 R2 c* x* [/ P! G5 H1 wC. 2.30% 4 y( k/ W8 n9 Q! [
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5. Elaine Wong has purchased an 8%! ]; ^. g7 d5 o9 R6 R' `
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?
) L( e8 L: o' u% Z4 u) cA. 8%
6 ?) |6 L4 M+ r. ^4 v0 _* F5 X8 ?B. 6.5%
k9 M. r+ d- P1 l1 \C. 5% # r7 i; W& L0 ~* f: x
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