答案和详解如下： 11．The price and yield on a bond have: A) positive relation. B) sometimes positive and sometimes negative relation. C) no relation. D) inverse relation. The correct answer was D) Interest rates and a bond's price have an inverse relationship. If interest rates increase the bond price will decrease and if interest rates decrease the bond price will increase. 12．Deep discount bonds have: A) less call protection than bonds selling at par. B) greater reinvestment risk than bonds selling at par. C) greater price volatility than bonds selling at par. D) less coupon protection than bonds selling at par. The correct answer was C) A deep discount bond is a bond selling at a discount of at least 20%. This means that a $1000 face value bond will be selling at $800. Using the duration method to show risk, a deep discount bond will have a significantly greater duration than the bond selling at par. Thus having a duration higher than the face value duration means there is more price volatility for the deep discount bond. 13．Randy Harris is contemplating whether to add a bond to his portfolio. It is a semiannual, 6.5 percent bond with 7 years to maturity. He is concerned about the change in value due to interest rate fluctuations and would like to know the bond’s value given various scenarios. Given the following yields to maturity (YTM), determine the bond’s fair value.
A) 1,032.67 959.43 B) 946.30 1,087.68 C) 974.03 1,052.36 D) 1,046.98 982.79 The correct answer was B) Given a YTM of 7.5%, calculate the value of the bond as follows:
N=14
I/Y=7.5/2 = 3.75%
PMT = 32.50
FV=1,000
CPT PV = 946.30 Given a YTM of 5.0%, calculate the value of the bond as follows:
N=14
I/Y=5/2 = 2.5%
PMT = 32.50
FV=1,000
CPT PV = 1,087.68 14．What value would an investor place on a 20-year, 10 percent annual coupon bond, if the investor required a 10 percent rate of return? A) $920. B) $1,052. C) $1,104. D) $1,000. The correct answer was D) N = 20
I/Y = 10
PMT= 100
FV = 1000
PV = ? = 1000 15．What value would an investor place on a 20-year, 10 percent annual coupon bond, if the investor required an 11 percent rate of return? A) $879. B) $945. C) $1,035 D) $920. The correct answer was D) N = 20, I/Y = 11, PMT = 100, FV = 1,000, CPT PV | 
发表于 2008-4-14 13:42
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