Fixed Income【Reading 58】Sample - Fixed Income - 【CFA一级试题精选】 - CFA论坛

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发表于 2012-3-31 15:04 | 只看该作者

The one-year spot rate is 6% and the one-year forward rates starting in one, two and three years respectively are 6.5%, 6.8% and 7%. What is the four-year spot rate?

6.51%.

6.58%.

6.57%.

The four-year spot rate is computed as follows:
Four-year spot rate = [(1 + 0.06)(1 + 0.065)(1 + 0.068)(1 + 0.07) ]1/4 – 1 = 6.57%

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102^#

发表于 2012-3-31 15:05 | 只看该作者

Given that the one-year spot rate is 5.76% and the 1.5-year spot rate is 6.11%, assuming semiannual compounding what is the six-month forward rate starting one year from now?

7.04%.

6.81%.

6.97%.

The forward rate is computed as follows:

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103^#

发表于 2012-3-31 15:06 | 只看该作者

Given that the one-year spot rate is 6.05% and the two-year spot rate is 7.32%, assuming annual compounding what is the one-year forward rate starting one year from now?

8.61%.

7.87%.

8.34%.

The forward rate is computed as follows:

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104^#

发表于 2012-3-31 15:07 | 只看该作者

Given the implied forward rates of: R1 = 0.04; 1r1 = 0.04300; 1r2 = 0.05098; 1r3 = 0.051005, what is the theoretical 4-period spot rate?

6.67%.

2.33%.

4.62%.

[(1.04)(1.043)(1.05098)(1.051005)].25−1

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105^#

发表于 2012-3-31 15:07 | 只看该作者

If the current two-year spot rate is 6% while the one-year forward rate for one year is 5%, what is the current spot rate for one year?

5.5%.

5.0%.

7.0%.

(1 + f)(1 + r1) = (1 + r2)2
(1 + 0.05)(1 + r1) = (1 + 0.06)2
(1 + r1) = (1.06)2 / (1 + 0.05)
1 + r1 = 1.1236 / 1.05
1 + r1 = 1.0701
r1 = 0.07 or 7%

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106^#

发表于 2012-3-31 15:14 | 只看该作者

Given that the two-year spot rate is 5.89% and the one-year forward rate one-year from now is 6.05%, assuming annual compounding what is the one year spot rate?

5.67%.

5.73%.

5.91%.

The spot rate is computed as follows:

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107^#

发表于 2012-3-31 15:20 | 只看该作者

Given that the two-year spot rate is 5.89% and the one-year forward rate one-year from now is 6.05%, assuming annual compounding what is the one year spot rate?

5.67%.

5.73%.

5.91%.

The spot rate is computed as follows:

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108^#

发表于 2012-3-31 15:21 | 只看该作者

Which of the following statements regarding forward rates is NOT correct?

A)	Forward rates do not account for the market's tolerance for risk.

B)	By the aggregation of forward rates, spot rates can be estimated.

C)	Forward rates may be estimated from spot rates.

Spot interest rates are the result of market participant’s tolerance for risk and their collective view regarding the future path of interest rates. If we assume that these results are purely a function of expectations, we can use spot rates to estimate the market’s consensus on forward interest rates

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109^#

发表于 2012-3-31 15:21 | 只看该作者

The one-year spot rate is 5% and the two-year spot rate is 6.5%. What is the one-year forward rate starting one year from now?

5.00%.

8.02%.

7.87%.

The forward rate is computed as follows:
One-year forward rate = 1.0652 / 1.05 – 1 = 8.02%