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本帖最后由 一起学CFA 于 2016-1-6 11:31 编辑 & D. H% |) j) t5 |" e
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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:
M( B: V% i0 g: [4 ]/ a5 y( N) IA. 8.28%
Y6 V& c" u# t" `9 l9 C8 x/ @B. 7.28% 8 |; a; @2 [% x2 X
C. 6.28% ( ~/ t- r: t" r: a, P* i7 L6 u
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?
: ^3 Y8 z! b- O9 d| Bond | YTM | Time to Maturity | Current Price | | A | 8% | 15 | $980 | | B | 8% | 15 | $1,000 | | C | 8% | 15 | $1,098 |
f* z4 R2 h7 E, |2 QA. Bond A
2 b# w1 K" w% a' R# VB. Bond B $ q5 n4 L# c0 n( Y
C. Bond C 8 T( N8 N W( m% X1 S: }
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; i' E. S5 _' o. J ~4 h+ 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:
) y9 U% g+ { O5 ]- 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% |
3 K* t. P5 h/ ?+ q$ [2 V" z: GA. $104.20 ! H% d( `' ?- R# o1 c) l5 h
B. $100
. A L" i+ |2 F) u7 HC. $98.74 ~- |* h. s h' U0 t) x
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4. Using the BEY (bond-equivalent yield) spot rates for U.S. Treasury yields provided in the following table, the 6-month forward rate one year from now on a bond-equivalent yield basis is closest to:
% [7 L k* c C5 J| Period | Years | Spot Rate | | 1 | 0.5 | 1.40% | | 2 | 1.0 | 2.30% | | 3 | 1.5 | 3.00% | | 4 | 2.0 | 3.50% |
A. 4.41%
( Z& N- q- q, B7 d# T& O* h! V* hB. 2.20% % R2 B2 j: |1 e1 [
C. 2.30%
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5. Elaine Wong has purchased an 8%3 V$ c) M+ n) ^ H0 C9 O
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# w: z6 I' J, s. S
A. 8%
+ j0 L1 r2 P1 d9 n4 i- nB. 6.5%
8 {' q0 Y" y& t- R5 |9 pC. 5% - h; x' f% T6 W& O( p
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发表于 2016-1-6 09:16:16
发表于 2016-1-6 09:42:03
