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本帖最后由 一起学CFA 于 2016-1-6 11:31 编辑 ( k b# u' e, \. u
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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 $980.74, the YTM is closest to:
& W6 M) {, [! [# }! Q0 _# h3 a4 ]A. 8.28%
! T3 c; V5 I: \1 YB. 7.28%
& s* M8 X7 m9 S$ I; lC. 6.28% 5 m( C5 U- h( I9 ?5 P* `; Y
答案和详解，登录后回复可见：
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& p' q: T1 N6 C m2. Consider the three bonds in the following table. Which of the three bonds is most likely to have the greatest reinvestment risk?
6 o2 Z" u" t5 {| Bond | YTM | Time to Maturity | Current Price | | A | 8% | 15 | $980 | | B | 8% | 15 | $1,000 | | C | 8% | 15 | $1,098 |
2 A5 G# x5 J- hA. Bond A C X2 a e2 t; y, g3 O3 p" q
B. Bond B 3 R* K3 [5 } p X4 [! ?5 {
C. Bond C 7 G0 ?- s1 P2 I8 }
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: S8 A) A! _, 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: 8 J+ W" u6 d% ]+ K& z! X
| Period | Years | Forward Rate | | 1 | 0.5 | 1.1% | | 2 | 1.0 | 1.7% | | 3 | 1.5 | 2.2% | | 4 | 2.0 | 2.5% |
! w4 J; U" b9 ^+ RA. $104.20 & Q0 \4 X( i/ }8 c6 W8 L3 ~
B. $100
+ K* }* v9 d, R" M5 eC. $98.74
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3 M5 I5 K) B4 Z2 i( C4. Using the BEY (bond-equivalent yield) spot rates for U.S. Treasury yields provided in the following table, the 6-month forward rate one year from now on a bond-equivalent yield basis is closest to:4 b2 G, |0 M4 v
| Period | Years | Spot Rate | | 1 | 0.5 | 1.40% | | 2 | 1.0 | 2.30% | | 3 | 1.5 | 3.00% | | 4 | 2.0 | 3.50% |
A. 4.41%
) ?% }6 g8 }7 L, G9 `8 YB. 2.20%
' B3 D- D; `. W6 N# _9 z$ E4 IC. 2.30% # [" m* U' F P: P, z! O
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$ o* n; Z5 C7 _- ~: l3 g5. Elaine Wong has purchased an 8%
0 d% i. t" @" g m( C* B$ H0 B! Gcoupon 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?
7 ? r6 L# o, `* j" M) O7 ]' lA. 8%
& x- C2 q2 u- W0 P8 P) dB. 6.5%
" w) ^3 w2 @. c3 _C. 5%
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发表于 2016-1-6 09:16:16
发表于 2016-1-6 09:42:03
