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本帖最后由 一起学CFA 于 2016-1-6 11:31 编辑 R3 ]/ v- R1 r# G# T# y
; d- A1 l8 u4 W3 Q) g1. 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 $980.74, the YTM is closest to: / b( U+ _6 q) `3 I9 b; G
A. 8.28%
3 `! z$ g' V% [: r5 r3 V CB. 7.28% ' S8 l5 E+ K1 I! A3 V
C. 6.28% 0 u3 C2 F. j7 b4 t8 _" [& Z+ ?
答案和详解，登录后回复可见：) x6 c5 U) b5 \
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6 F4 ]4 F; {0 `+ s/ L+ M9 [2. Consider the three bonds in the following table. Which of the three bonds is most likely to have the greatest reinvestment risk?
. u2 ~/ M3 a$ g, E V8 q| Bond | YTM | Time to Maturity | Current Price | | A | 8% | 15 | $980 | | B | 8% | 15 | $1,000 | | C | 8% | 15 | $1,098 |
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A. Bond A 4 U X7 J, S C; c+ }5 \
B. Bond B ' a- a3 W! I x( |
C. Bond C $ K8 A1 F7 S( K# t; }8 ^- z6 }
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( x3 L# r6 x$ u; f3 K3. 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:
# j; A; }0 }. i7 W5 D: N3 s' M z| 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
7 {1 k, @6 {0 R+ |1 DB. $100
$ u6 f4 K2 V- D* c3 ^! j; D$ SC. $98.74 ( ^0 A" I0 w* M$ Q) Y+ _/ x
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: P% Q6 N5 r+ ]: g9 G/ d7 z- V" {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:
& `6 U3 M K( G+ E" M8 ]# X% W| 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%
( K& Y2 R; N; h! j0 LB. 2.20% $ _ B& F ?: A& |
C. 2.30%
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5. Elaine Wong has purchased an 8%
% k# [$ g. ~# \3 scoupon bond for $1,034.88 with 3 years to maturity. At what rate must the coupon payments be reinvested to produce a 5% yield-to-maturity rate? * [3 ~, T8 A, h3 p* r$ N/ u+ d
A. 8% 4 W3 j& I% p- R4 h; G. S& C1 \
B. 6.5%
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发表于 2016-1-6 09:16:16
发表于 2016-1-6 09:42:03
