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题目 At a rate of 4.00% a bond has a price of $107.93. If the rate drops by one basis point to 3.99%, the bond price increases to $108.00. What is an estimate of the bond's effective duration? [...]

题目 A and B are two perpetual bonds, i.e., their maturities are infinite. A has a coupon of 4 percent and B has a coupon of 8 percent. Assuming that both bonds are trading at the same yield, what [...]

题目 An investment in a callable bond can be analytically decomposed into a: 选项 A.Long position in a non-callable bond and a short position in a put option B.Short position in a non-callable [...]

题目 A market maker sells (writes) $100 million face value of call options on underlying bonds when the interest rate is 4.0%. The price of the call options is $3.0 million and their (modified) [...]

题目 The modified duration is 10.46 of a bond with a current price of $716.38. Once the yield rise 1 basis point, what is the bond’s price change? 选项 A.$-0.40 B.$-0.75 C.$-1.25 D.Need more [...]

题目 Which of the following statements about STRIPS is correct? I. SIRIPS ave less interest rate sensitivity than coupon bonds. II. Tend to be highly liquid. 选项 A.\u2160 only B.\u2161 only [...]

题目 Which one of the following cases or events can be considered as resulting from operational risk? 选项 A.A bank reports losses on a diversified portfolio of stocks during the stock market [...]

题目 Consider a 9-year bond with a semi-annual 10.0% coupon that has a current price of $119.780 and a yield of 7.000%. If the yield drops to 6.850%, the bond's price increases to $120.900. If this [...]

题目 A portfolio manager uses her valuation model to estimate the value of a bond portfolio at USD 125.482 million. The term structure is flat. Using the same model, she estimates that the value of [...]

题目 Investing a putable bond can be seen as a combination of: 选项 A.Long a bond and long a put B.Long a bond and short a put C.Short a bond and short a put D.Short a bond and long a put 答案 [...]