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本帖最后由 一起学CFA 于 2016-1-6 11:31 编辑 8 _; d" t1 h$ T# W/ i( T4 [: y
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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:
$ a: W" y& i. G& G6 s4 iA. 8.28% " \! |5 I- [ [5 a" t/ s
B. 7.28%
& H# y: B$ J p0 OC. 6.28% & T z1 Z& ] c5 u6 }
答案和详解，登录后回复可见：
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4 ^9 j% }/ @) M2. Consider the three bonds in the following table. Which of the three bonds is most likely to have the greatest reinvestment risk? ' x; S. m; E) C, T1 A
| 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 $ [0 b6 |1 y- Y0 K3 G8 C
B. Bond B
( S4 u t! `9 L3 GC. Bond C : Q* D7 c& j: |1 I4 s. v( y
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) J0 i' P) X* \4 `; C+ h3. 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: 6 }. Q( @& g t$ T3 Q$ D
| Period | Years | Forward Rate | | 1 | 0.5 | 1.1% | | 2 | 1.0 | 1.7% | | 3 | 1.5 | 2.2% | | 4 | 2.0 | 2.5% |
* k; ~9 Q8 y$ T. fA. $104.20
6 R) ~3 K% s5 L7 y( j4 lB. $100 / x5 V" J8 I' [' ` b4 l5 O* r* f
C. $98.74
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: ^. L( ]# j* M, E" v; N4. Using the BEY (bond-equivalent yield) spot rates for U.S. Treasury yields provided in the following table, the 6-month forward rate one year from now on a bond-equivalent yield basis is closest to:
( `) y* f) V( x7 h| Period | Years | Spot Rate | | 1 | 0.5 | 1.40% | | 2 | 1.0 | 2.30% | | 3 | 1.5 | 3.00% | | 4 | 2.0 | 3.50% |
A. 4.41% ) B/ ?: c# a% w8 @5 k# q
B. 2.20% * {3 B8 ]$ n5 d# w- \" f3 N
C. 2.30% 0 v9 Q3 F1 c) X* ]5 w
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* d9 B3 X4 |9 I m+ W" s5. Elaine Wong has purchased an 8%
, a! w7 C+ P/ ecoupon 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 f1 X2 R# A D% q6 K6 v4 u
A. 8% * t" F# I1 W5 D& p
B. 6.5%2 a1 `% d, C5 `7 @6 D1 W
C. 5%
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发表于 2016-1-6 09:16:16
发表于 2016-1-6 09:42:03
