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Q4. A bond with a semi-annually coupon rate of 3% sells for $850. It has a modified duration of 10 and is priced at a yield to maturity (YTM) of 8.5%. If the YTM increases to 9.5%, the predicted change in price, using the duration concept decreases by:
A) $77.56.
B) $79.92.
C) $85.00.
Q5. A bond has the following characteristics:
- Modified duration of 18 years
- Maturity of 30 years
- Effective duration of 16.9 years
- Current yield to maturity is 6.5%
If the market interest rate decreases by 0.75%, what will be the percentage change in the bond's price?
A) 0.750%.
B) +12.675%.
C) -12.675%.
Q6. Par value bond XYZ has a modified duration of 5. Which of the following statements regarding the bond is TRUE? If the market yield:
A) increases by 1% the bond's price will increase by $50.
B) increases by 1% the bond's price will decrease by $50.
C) increases by 1% the bond's price will decrease by $60.
Q7. Given a bond with a modified duration of 1.93, if required yields increase by 50 basis points, the expected percentage price change would be:
A) -1.025%.
B) -0.965%.
C) 1.000%.
Q8. What happens to bond durations when coupon rates increase and maturities increase?
As coupon rates increase, duration: As maturities increase, duration:
A) increases increases
B) decreases decreases
C) decreases increases
Q9. A non-callable bond with 10 years remaining maturity has an annual coupon of 5.5% and a $1,000 par value. The current yield to maturity on the bond is 4.7%. Which of the following is closest to the estimated price change of the bond using duration if rates rise by 75 basis points?
A) -$61.10.
B) -$47.34.
C) -$5.68.
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发表于 2009-3-5 10:59
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