AIM 1: List and apply the three most commonly used day count conventions.

1、Calculate the per annum discount rate of a 180-day T-bill with a cash price of 98.

A) 4.08%.
 
B) 2.04%.
 
C) 3.40%.
 
D) 1.13%.

2、A semi-annual pay bond with a $100 par value pays coupons on March 1 and September 1. The annual coupon is 8%, and it is currently June 13. Compute the accured interest of this bond as a T-bond.

A) $2.26.
 
B) $2.29.
 
C) $4.52.
 
D) $4.58.

The  correct answer is A
Using the actual/actual convention there are 184 days between coupon payments and 104 days from March 1 and June 13.

Accured interest: 104/184 × $8/2 = $2.26.

3、The day count convention used to calculate accrued interest on U.S. Treasury bonds is:

A) actual/actual.
 
B) actual/360.
 
C) 30/360.
 
D) 30/365.

AIM 3: Explain the U.S. Treasury bond (T-bond) futures contract conversion factor.

1、Because there are a large number of available Treasury bonds (T-bonds) available for delivery on the futures market, which of the following defines the price received by the short position of the futures contract?

A) Wild card option.
 
B) Chicago Board of Trade (CBOT) factor.
 
C) Conversion factor.
 
D) Market yield option.

AIM 5: Formulate a duration-based hedging strategy using interest rate futures.

1、John Jordan manages a bond portfolio valued at $11.2 million, which has a duration of five years. To hedge against an increase in interest rates, he wishes to employ interest-rate futures. The deliverable on the current futures contract has a duration of seven years, and the futures contract is trading at 97.5. To hedge the position, Jordan must:

A) buy 82 contracts.
 
B) sell 54 contracts.
 
C) sell 82 contracts.
 
D) buy 54 contracts.

The  correct answer is C

[此贴子已经被作者于2009-6-24 16:35:47编辑过]