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本帖最后由 一起学CFA 于 2016-1-6 11:31 编辑 , E! [( K$ K6 z9 `; [
+ {5 E$ n; R2 z/ O1. 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 $980.74, the YTM is closest to:
- C: \% ^$ q `4 OA. 8.28%
: F* n, G1 s, @, Z/ ]! ?- q9 QB. 7.28% 7 I$ x5 N% D# l; O" ? _
C. 6.28% 8 o6 @' V7 E' c/ l
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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? $ R9 w5 T+ A+ a) u
| Bond | YTM | Time to Maturity | Current Price | | A | 8% | 15 | $980 | | B | 8% | 15 | $1,000 | | C | 8% | 15 | $1,098 |
) R1 [9 c, \- l, t) V" [/ Z/ I4 vA. Bond A
, t7 e& Y1 m& l8 f# @6 pB. Bond B
5 M& C3 J% K2 F/ g- s# NC. Bond C
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* G2 ^+ G$ `) M7 I# Y1 h% ]" ^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: 3 B" B- O$ P3 L4 D F6 J* z: q
| Period | Years | Forward Rate | | 1 | 0.5 | 1.1% | | 2 | 1.0 | 1.7% | | 3 | 1.5 | 2.2% | | 4 | 2.0 | 2.5% |
. N4 [; R7 J8 A7 {6 B% uA. $104.20 9 y. K& ]# o7 k) [, Y
B. $100 ) n9 ]1 [1 { ^, H* k5 S
C. $98.74
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4. Using the BEY (bond-equivalent yield) spot rates for U.S. Treasury yields provided in the following table, the 6-month forward rate one year from now on a bond-equivalent yield basis is closest to:2 X. m, M B$ P2 O/ u. Z
| 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%
$ i' {$ x0 E: t" ^; h" Z0 PB. 2.20% ) _; `6 _; l* f7 t$ j I' V
C. 2.30%
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- I, a2 s/ C9 T# W, w" U" {5. Elaine Wong has purchased an 8%
3 R3 u' B! v* w# Zcoupon bond for $1,034.88 with 3 years to maturity. At what rate must the coupon payments be reinvested to produce a 5% yield-to-maturity rate? " V: a$ J; `/ b. v
A. 8% 4 g/ G0 q: H4 f
B. 6.5%$ M4 n- w" R% f& |( D
C. 5%
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发表于 2016-1-6 09:16:16
发表于 2016-1-6 09:42:03
