Question 101
A bond has a modified duration of 7 and convexity of 50. If interest rates decrease by 1%, the price of the bond will most likely:
A) decrease by 7.5%.
B) increase by 7.5%. C) increase by 6.5%. D) decrease by 6.5%. Question 102
Which of the following approaches in determining the discount factor will lead to more accurate bond pricing when the term structure is upward sloping? The:
A) use of a single discount factor.
B) use of a series of spot interest rates that reflect the current term structure. C) arithmetic average of the spot interest rates. D) geometric average of the spot interest rates. Question 103
Portfolio duration least accurately approximates the sensitivity of the value of a bond portfolio to:
A) parallel shifts in the yield curve.
B) non-parallel shifts in the yield curve. C) upward shifts in the yield curve. D) downward shifts in the yield curve. Question 104
Which of the following best describes a Treasury note? Pays:
A) explicit interest; is non-callable; has a 2- to 10-year maturity.
B) implicit interest; is non-callable; has a 2- to 10-year maturity. C) explicit interest; is callable; has a 1- to 15-year maturity. D) implicit interest; is non-callable; has a 1- to 15-year maturity.
Question 105
The current 1-period spot rate is 8.97%, the current 2-year spot rate is 10.53%, and the current 3-period spot rate is 11.47%. The 1-year forward rate 2 years from now is closest to:
A) 11.8%.
B) 7.9%. C) 16.6%. D) 13.4%.
[此贴子已经被作者于2008-11-8 15:35:05编辑过] | 
发表于 2008-5-26 13:42
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