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标题: Reading 6: Discounted Cash Flow Applications - LOS d, (Par [打印本页]

作者: mayanfang1 时间: 2008-12-30 17:26 标题: [2009] Session 2 - Reading 6: Discounted Cash Flow Applications - LOS d, (Par

Q7. If the holding period yield on a Treasury bill (T-bill) with 197 days until maturity is 1.07%, what is the effective annual yield?

A) 0.58%.

B) 1.99%.

C) 1.07%.

Q8. Assume that a 1-month loan has a holding period yield of 0.80%. The bond equivalent yield of this loan is:

A) 9.60%.

B) 9.79%.

C) 10.12%.

Q9. The effective annual yield for an investment is 10%. What is the yield for this investment on a bond-equivalent basis?

A) 4.88%.

B) 10.00%.

C) 9.76%.

Q10. A 1-month loan has a holding period yield of 1%. What is the annual yield of this loan on a bond-equivalent basis?

A) 6.15%.

B) 12.30%.

C) 12.00%.

作者: mayanfang1 时间: 2008-12-30 17:26

答案和详解如下：

Q7. If the holding period yield on a Treasury bill (T-bill) with 197 days until maturity is 1.07%, what is the effective annual yield?

A) 0.58%.

B) 1.99%.

C) 1.07%.

Correct answer is B)

To calculate the EAY from the HPY, the formula is: (1 + HPY)^(365/t) − 1. Therefore, the EAY is: (1.0107)^(365/197) − 1 = 0.0199, or 1.99%.

Q8. Assume that a 1-month loan has a holding period yield of 0.80%. The bond equivalent yield of this loan is:

A) 9.60%.

B) 9.79%.

C) 10.12%.

Correct answer is B)

(1 + 0.008)⁶ − 1 = 4.897%

4.897 × 2 = 9.79%.

Q9. The effective annual yield for an investment is 10%. What is the yield for this investment on a bond-equivalent basis?

A) 4.88%.

B) 10.00%.

C) 9.76%.

Correct answer is C)

First, the annual yield must be converted to a semiannual yield. The result is then doubled to obtain the bond-equivalent yield.

Semiannual yield = 1.1^0.5 − 1 = 0.0488088.
The bond-equivalent yield = 2 × 0.0488088 = 0.097618.

Q10. A 1-month loan has a holding period yield of 1%. What is the annual yield of this loan on a bond-equivalent basis?

A) 6.15%.

B) 12.30%.

C) 12.00%.

Correct answer is B)

First, the 1-month yield must be converted to a semiannual yield. The result is then doubled to obtain the bond-equivalent yield.

Semiannual yield = 1.01⁶ − 1 = 0.061520.
The bond-equivalent yield = 2 × 0.061520 = 0.12304.

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[2009] Session 2 - Reading 6: Discounted Cash Flow Applications - LOS d, (Part 2) ～ Q7-10

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