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标题: 2008 CFA Level 1 － Sample 样题(1)－Q57 [打印本页]

作者: 8586 时间: 2008-5-19 16:35 标题: 2008 CFA Level 1 － Sample 样题(1)－Q57

57、An 8% coupon bond with a par value of $100 matures in 6 years and is selling at $95.51 with a yield of 9%. Exactly one year ago this bond sold at a price of $90.26 with a yield of 10%. The bond pays annual interest. The change in price attributable to the change in maturity is closest to:

A. $0.54.

B. $1.03.

C. $4.22.

D. $5.25.

[此贴子已经被作者于2008-11-7 15:05:22编辑过]

作者: 8586 时间: 2008-5-19 16:37

Correct answer = B

"Introduction to the Valuation of Debt Securities," Frank J. Fabozzi
2008 Modular Level I, Vol. 5, pp. 392-394
Study Session 16-67-d
explain how the price of a bond changes as the bond approaches its maturity date, and compute the change in value that is attributable to the passage of time
The price of the bond one year ago was $90.26 at a yield of 10%
The price of the bond today assuming a yield of 10% is

The change in price attributable to moving to maturity = $91.29 - $90.26 = $1.03

[此贴子已经被作者于2008-5-19 16:37:12编辑过]

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