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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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8 o) z% K! n) @- I& ~9 n0 W1. 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 $980.74, the YTM is closest to:
+ n& @3 }. g+ kA. 8.28% 1 y# y* G8 z+ c2 j6 K
B. 7.28%
& ?/ K2 {/ N, j. Z. X4 UC. 6.28% # Y" e) H9 S+ a$ ~
答案和详解，登录后回复可见：
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" ?0 c# _) ]* Y7 k2. Consider the three bonds in the following table. Which of the three bonds is most likely to have the greatest reinvestment risk? $ y" h5 ?, a- \; U! M* }9 Z; C
| 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
( ~3 ?, `8 ~1 G8 X& A( PB. Bond B
; m U- m4 t4 X iC. Bond C
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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:
$ r" J7 N' ^2 z* C7 c| Period | Years | Forward Rate | | 1 | 0.5 | 1.1% | | 2 | 1.0 | 1.7% | | 3 | 1.5 | 2.2% | | 4 | 2.0 | 2.5% |
) Z( c6 ~- M- B. _A. $104.20
! M) G7 D, A# }3 W0 N5 B: }B. $100 3 f- m; R3 H/ J+ R `; r+ i% V! I% Q
C. $98.74 : |) U; J; f/ `) i* H2 ^% l
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! c* c! ]# K4 S" @ \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:
# u2 r2 G6 o3 p' 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%
" r2 h! ]- D3 A+ o4 @B. 2.20%
/ p2 o: c& s. S/ T7 b& eC. 2.30% ) S% i3 P, h, O1 H2 t
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) O6 _3 y1 R. S5 t5. Elaine Wong has purchased an 8%0 l7 O4 g" i5 z
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? 8 K. m" t; `# `
A. 8% # Q* r% C+ \# Y
B. 6.5%
@7 I# |8 J5 f" _4 iC. 5% & n% q! m5 B- J5 Y! i! |
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发表于 2016-1-6 09:16:16
发表于 2016-1-6 09:42:03
