|
LOS f: Compute and interpret the duration and dollar duration of a bond.
Q1. Duration of a bond normally increases with an increase in:
A) yield to maturity.
B) coupon rate.
C) time to maturity.
Q2. Which of the following statements about duration of a bond is least accurate?
A) If a bond has an effective duration of 7.5, it means that a 1% change in rates will result in a 7.5% change in price.
B) The dollar change in price is approximately equal to the product of the duration and the current value of the bond divided by 100.
C) The duration of a floater is equal to the time to the next reset date.
Q3. Duration measures the:
A) length of time until a bond matures.
B) timing of cash flows weighted by the proportionate value of each flow's present value.
C) cash flows weighted by the timing of the cash flows.
Q4. Which set of conditions will result in a bond with the greatest volatility?
A) A low coupon and a long maturity.
B) A high coupon and a short maturity.
C) A high coupon and a long maturity.
Q5. All other things being equal, which one of the following bonds has the greatest volatility?
A) 20-year, 15% coupon.
B) 5-year, 10% coupon.
C) 20-year, 10% coupon.
Q6. Which one of the following bonds has the shortest duration?
A) Zero-coupon, 13-year maturity.
B) 8% coupon, 10-year maturity.
C) Zero-coupon, 10-year maturity.
| 
发表于 2009-3-2 15:28
| 
