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本帖最后由 一起学CFA 于 2016-1-6 11:31 编辑 ) k0 ]1 Z) ]/ b# n2 Z
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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:
6 `# s, D6 B! b8 q9 {A. 8.28% 8 h& Y8 G4 C/ ]' j- Q
B. 7.28% - z9 `8 @5 i( v/ }2 K; O" [% ]
C. 6.28% N% r2 F G% i- P- \) k
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7 A3 v7 V% Q9 D( u: R1 c; ?, {2. Consider the three bonds in the following table. Which of the three bonds is most likely to have the greatest reinvestment risk? 2 j3 M6 B& D9 ]/ n; M- H$ K
| 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 ; u* ?/ G7 e4 F* |( M' J
B. Bond B
( w9 L% m* F- Y" Z1 `C. Bond C
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9 k& ^& ?& f4 Z4 c5 c3. 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 S! g* `* Y; N' [) k5 ^
| Period | Years | Forward Rate | | 1 | 0.5 | 1.1% | | 2 | 1.0 | 1.7% | | 3 | 1.5 | 2.2% | | 4 | 2.0 | 2.5% |
' H/ L& ]2 R6 |# |A. $104.20 0 Y) ]. m2 m! b% e9 N$ p" v8 e
B. $100
; B* c( @( Z1 p6 n2 `! D% o! XC. $98.74
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r/ _/ l. N: C: o' Y+ _1 r5 L4. Using the BEY (bond-equivalent yield) spot rates for U.S. Treasury yields provided in the following table, the 6-month forward rate one year from now on a bond-equivalent yield basis is closest to:
: f# ^" Y6 q0 O4 p7 H& Q3 L. G& J9 X| Period | Years | Spot Rate | | 1 | 0.5 | 1.40% | | 2 | 1.0 | 2.30% | | 3 | 1.5 | 3.00% | | 4 | 2.0 | 3.50% |
A. 4.41%
" t3 d; ^3 H- [+ IB. 2.20%
1 k9 r, [0 u' F; _C. 2.30%
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5. Elaine Wong has purchased an 8%% t& [0 v$ l) F
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? 3 N- g% n# L/ R; h: k' l' G
A. 8% # q6 L7 M2 Q) `3 y5 i
B. 6.5%( M2 Y |8 ^) d
C. 5%
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