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LOS d, (Part 2): Describe the characteristics of forward contracts on zero-coupon and coupon bonds.
Q1. Which of the following is least likely a characteristic of bond forward contracts?
A) Prices are stated as yield to maturity, including accrued interest.
B) Contracts can be written on bonds with embedded options.
C) Contracts must settle before the bond matures.
Q2. The settlement price of a deliverable forward contract at 6% on a $1 million 90-day Treasury bill would be:
A) determined by the market rates at expiration.
B) $985,000.
C) $940,000.
Q3. The price of a 90-day forward contract on a 90-day Treasury bill will be:
A) above the current price of a 90-day T-bill.
B) above the current price of a 180-day T-bill.
C) either above or below the current price of a 180-day T-bill.
Q4. The forward contract price of a coupon-bearing bond is typically quoted as:
A) a discount to the face value.
B) the bond dollar-price plus accrued interest as of the settlement date.
C) a yield to maturity at the settlement date.
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发表于 2009-3-2 09:49
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