答案和详解如下： 11、A T-bill with a face value of $100,000 and 140 days until maturity is selling for $98,000. What is the effective annual yield (EAY)? A) 5.41%. B) 2.04%. C) 5.14%. D) 4.08%. The correct answer was A) The EAY takes the holding period yield and annualizes it based on a 365-day year accounting for compounding. HPY = (100,000 – 98,000)/98,000 =0.0204. EAY = (1+HPY)365/t – 1 = (1.0204)365/140 – 1 = 0.05406 = 5.41%. 12、What is the effective annual yield for a Treasury bill priced at $98,853 with a face value of $100,000 and 90 days remaining until maturity? A) 1.16%. B) 4.64%. C) 4.79%. D) 4.06%. The correct answer was C) HPY = (100,000 -98,853) / 98,853 = 1.16% EAY = (1 + 0.0116)365/90 -1 = 4.79% 13、A Treasury bill with a face value of $1,000,000 and 45 days until maturity is selling for $987,000. The Treasury bill’s bank discount yield is closest to: A) 5.20%. B) 7.90%. C) 10.54%. D) 10.40%. The correct answer was D) The actual discount is 1.3%, 1.3% × (360/45) = 10.4% The bank discount yield is computed by the following formula, r = (dollar discount/face value) × (360/number of days until maturity) = [(1,000,000 - 987,000)/(1,000,000)]×(360/45) = 10.40%. 14、The bank discount of a $1,000,000 T-bill with 135 days until maturity that is currently selling for $979,000 is: A) 6.1%. B) 5.6%. C) 5.2%. D) 5.8%. The correct answer was B) ($21000/1,000,000) * (360/135) = 5.6%. | 
发表于 2008-4-7 15:34
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