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Q14. Which of the following statements about duration is TRUE?
A) A bond's percentage change in price and dollar change in price are both tied to the underlying price volatility.
B) The result of the formula for effective duration is for a 0.01% change in interest rates.
C) The formula for effective duration is: (price when yields fall - price when yields rise) / (initial price * change in yield expressed as a decimal).
Q15. What is the duration of a floating rate bond that has six years remaining to maturity and has semi-annual coupon payments. Assume a flat-term structure of 6%. Which of the following is closest to the correct duration?
A) 0.500.
B) 6.000.
C) 4.850.
Q16. Assuming a flat term structure of interest rates of 5%, the duration of a zero-coupon bond with 5 years remaining to maturity is closest to:
A) 4.35.
B) 3.76.
C) 5.00.
Q17. Which of the following bonds has the shortest duration? A bond with a:
A) 20-year maturity, 6% coupon rate.
B) 10-year maturity, 6% coupon rate.
C) 10-year maturity, 10% coupon rate.
Q18. An option-free bond has a market price and par value equal to $1,000. For small changes in the yield of this bond, its price will change one dollar for every basis point change in the yield. What is the duration of the bond?
A) 10.
B) 1.
C) 5.
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发表于 2009-3-2 15:32
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