Baran

 

The correct answer is B

Using the current five-year spot rate and the current four-year spot rate, we can derive the one-year forward rate starting four years from today. The formula is: (1.061)5/(1.059)4 = (1+R)1 – 1 = 0.069, or 6.9 percent.

Baran

 

7、Use this table for the following questions.

Maturity (Years)	STRIPS Price	Spot Rate	Forward Rate
0.5	98.7654	2.50%	2.50%
1.0	97.0662	3.00%	3.50%
1.5	95.2652	3.26%	3.78%
2.0	93.2775	????%	????%

The 6-month forward rate in 1.5 years (ending in year 2.0) is closest to:

A) 4.26%.

B) 4.57%.

C) 4.11%.

D) 4.04%.

Baran

 

The correct answer is A

 

First, calculate the spot rate in year 2.

2 * [(100/93.2775)^(1/4) - 1] = 3.51%

Next, calculate the forward rate in year 2.

Baran

 

The value of a 1.5-year, 6 percent semiannual coupon, $100 par value bond is closest to:

A) $102.19.

B) $103.42.

C) $104.00.

D) $105.66.

Baran

 

The correct answer is C

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[此贴子已经被作者于2009-6-26 15:54:24编辑过]

Baran

 

8、The Treasury spot rate yield curve is closest to which of the following curves?

A) Zero-coupon bond yield curve.

B) Par bond yield curve.

C) Reinvestment rate yield curve.

D) Forward yield curve rate.

Baran

 

The correct answer is A

 

The spot rate yield curve shows the appropriate rates for discounting single cash flows occuring at different times in the future. Conceptually, these rates are equivalent to yields on zero-coupon bonds. The par bond yield curve shows the YTMs on coupon bonds by maturity. Forward rates are expected future short-term rates. Reinvestment rates are not part of the spot rate yield curve.

Baran

 

9、

Maturity (Years)	STRIP Price	Spot Rate	Forward Rate
0.5	98.7654	2.50%	2.50%
1.0	97.0662	3.00%	3.50%
1.5	95.2652	3.26%	3.78%
2.0	93.2775	?.??%	?.??%

The 2-year spot rate is closest to:

A) 3.42%.

B) 3.87%.

C) 4.02%.

D) 3.51%.

Baran

 

The correct answer is D

 

N = 4; PV = ?93.2775; PMT = 0; FV = 100; CPT → I/Y = 1.755%;

z(0.5) = 1.755% × 2 = 3.51%.