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本帖最后由 一起学CFA 于 2016-1-6 11:31 编辑 # k2 {) H( N* A+ f6 [: }
5 { r. M2 l) l5 [! e1. 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 $980.74, the YTM is closest to:
( G* b' b! X; L) n2 X- H" J' u' rA. 8.28% & v' k% f7 U/ q) Y4 C
B. 7.28%
" N: h- ~$ Z. v& j+ F: XC. 6.28% $ p1 m4 Q. e9 U( R7 i- ^5 O. C( ]
答案和详解，登录后回复可见：9 Z6 F S- L. m% I& d" l v! \
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0 M5 d8 N' L$ @! S0 c2. Consider the three bonds in the following table. Which of the three bonds is most likely to have the greatest reinvestment risk?
6 M/ j0 x* x5 i2 `1 y| Bond | YTM | Time to Maturity | Current Price | | A | 8% | 15 | $980 | | B | 8% | 15 | $1,000 | | C | 8% | 15 | $1,098 |
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A. Bond A
& {3 _+ {. p8 V& a: ?5 C5 m, ZB. Bond B
8 y, w D" E. F9 u) Y$ ^1 XC. Bond C
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* i: s. z6 B" _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:
1 b: b' W# l+ t3 F| Period | Years | Forward Rate | | 1 | 0.5 | 1.1% | | 2 | 1.0 | 1.7% | | 3 | 1.5 | 2.2% | | 4 | 2.0 | 2.5% |
) a& u/ w7 _9 e& M. L5 A/ kA. $104.20 R/ C2 [" h& B- y
B. $100
2 \' V6 r$ R) u8 u7 f* jC. $98.74 4 I6 @' l. @' X* x. e( g$ r
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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:
, R7 T% C4 K/ n| 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% + L8 x7 @( D$ Q2 n' {- N1 {+ c; x
B. 2.20%
0 u1 _9 Z4 v7 c0 r( H% YC. 2.30% 9 {3 m5 X% f" r* O( q
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3 G: j* {, V3 ~% Y d. z/ {5. Elaine Wong has purchased an 8%& x- H0 X7 s" D1 z, p
coupon bond for $1,034.88 with 3 years to maturity. At what rate must the coupon payments be reinvested to produce a 5% yield-to-maturity rate?
: W6 P2 [. R# `1 v* c$ g% N) |A. 8% % m& i) X4 L9 k) F* |+ r% P5 f
B. 6.5%8 z7 ~/ K3 c) M
C. 5%
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发表于 2016-1-6 09:42:03
