答案和详解如下： 36．ch of the following describes the yield to worst? The: A) lowest of all possible prices on the bond. B) yield given default on the bond. C) difference between the yield to maturity and yield to call. D) lowest of all possible yields to call and yields to put. The correct answer was D) Yield to worst involves the calculation of yield to call and yield to put for every possible call or put date, and determining which of these results in the lowest expected return. 37．t is the yield to call on a bond that has an 8 percent coupon paid annually, $1,000 face value, 10 years to maturity and is first callable in 6 years? The current market price is $1,100. The call price is the face value plus 1-year’s interest. A) 6.00%. B) 7.14%. C) 9.06%. D) 7.02%. The correct answer was D) N = 6; PV = -1,100.00; PMT = 80; FV = 1,080; Compute I/Y = 7.02%. 38．y Ly is a Treasury Manager with Deeter Holdings, a large consumer products holding company. The Assistant Treasurer has asked Ly to calculate the current yield (CY) and the Yield-to-first Call (YTC) on a bond the company holds that has the following characteristics: §
7 years to maturity §
$1,000 face value §
7.0% semi-annual coupon §
Priced to yield 9.0 percent §
Callable at $1,060 in two years If Ly calculates correctly, the CY and YTC are approximately: CY YTC A) 7.80% 15.72% B) 7.78% 15.72% C) 7.80% 15.82% D) 7.78% 15.82% The correct answer was C) To calculate the CY and YTC, we first need to calculate the present value of the bond: FV = 1,000, N = 14 = 7*2, PMT = 35 =(1000*0.07)/2, I/Y = 4.5 (9 / 2), Compute PV = -897.77 (negative sign because we entered the FV and payment as positive numbers). Then, CY = (Face value * Coupon) / PV of bond = (1,000 * 0.07) / 897.77 = 7.80%. And finally, YTC calculation: FV = 1,060 (price at first call), N = 4 (2*2), PMT = 35 (same as above), PV = -897.77 (negative sign because we entered the FV and payment as positive numbers), ComputeI/Y = 7.91 (semi-annual rate, need to multiply by 2) = 15.82%. 39． bond's yield-to-maturity is: A) All of these are correct. B) the discount rate that equates the present value of the cash flows received with the price of the bond. C) based on the assumption that the yield curve is flat. D) based on the assumption that the bond is held to maturity and all coupons are reinvested at the yield-to-maturity. The correct answer was A) The yield to maturity (YTM) is the interest rate that will make the present value of the cash flow from a bond equal to its market price plus accrued interest and is the most popular of all yield measures used in the bond marketplace. 40． percent semi-annual pay bond, priced at $860 has 10 years to maturity. Find the yield to maturity and determine if the price of this bond will be lower or higher than a zero coupon bond. YTM Compared to zero coupon bond A) 4.03%
higher price B) 4.03%
lower price C) 8.07%
higher price D) 8.07%
lower price The correct answer was C) N = 2 * 10 = 20; PV = -$860.00; PMT = $30; FV = $1,000. Compute I/Y = 4.033 * 2 = 8.07%. The price of this bond will most likely be higher than a zero coupon bond because this bond pays coupons to the holder. | 
发表于 2008-4-18 10:00
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