题目 Assume the following discount function, which is a set of discount factors: d(0.5) = 0.990, d(1.0) = 0.970, d(1.5) = 0.960, d(2.0) = 0.950. A U.S. Treasury bond pays a semi-annual coupon at a [...]
题目 Which of the following bonds offers the highest yield (YTM)? 选项 A.7-year bond with a 3% coupon trading at par B.20-year bond with a 4% coupon trading at a 15% premium to par C.10-year bond [...]
题目 Each of the following is necessarily true about a bond's yield (YTM) EXCEPT: 选项 A.If the term structure of spot rates is flat at X%, a bond's yield must be also be X% B.Regardless of the [...]
题目 Peter paid $93.40 to purchase a bond on June 1st, 2018; the bond pays a semi-annual coupon with a coupon rate of 3.0% per annum and matures in 10.0 years on June 1st, 2028. One year later, on [...]
题目 For purposes of computing the market risk of a US Treasury Bond portfolio, it is easiest to measure: 选项 A.Yield volatility because yields have positive skewness. B.Price volatility because [...]
题目 Relative to coupon-bearing bonds of same maturity, zero-coupon bonds are not subject to which type of risk? 选项 A.Interest rate risk B.Credit risk C.Reinvestment risk D.Liquidity risk [...]
题目 Consider the following, a 7-year zero-coupon bond carries an annual yield of 6.75% and a 6-year zero coupon bond carries an annual yield of 5.87%. Calculate the 1 year forward rate 6 years [...]
题目 Assume the upward-sloping 2-year theoretical spot rate curve, and associated discount factors, below: Consider three bonds with identical par value of $100 and maturity of two years:Bond I is [...]
题目 Each of the following is necessarily TRUE about a bond's yield-to-maturity (YTM) EXCEPT: 选项 A.A bond that sells at a premium to par has a yield (YTM) that is less than its coupon rate B.A [...]
题目 A $10 million Treasury bond (note) with a 10-year maturity pays semi-annual coupons at a coupon rate of 4.0% per annum. If the bond is fully "stripped" such that STRIPS are created, each of [...]
