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LOS h, (Part 2): Compute the value of a bond using forward rates.
Q1. Given the following forward rates, the value of a 4-year, 11% annual pay, $1,000 par bond, is closest to:
|
Year |
Rate |
|
1 |
7.00% |
|
2 |
8.15% |
|
3 |
10.30% |
|
4 |
12.00% |
Note that the year 1 rate is the current rate (or spot rate) on a 1-year security.
A) $1,052.63.
B) $1,060.36.
C) $984.25.
Q2. Which of the following statements regarding forward rates is FALSE?
A) By the aggregation of forward rates, spot rates can be estimated.
B) Forward rates do not account for the market's tolerance for risk.
C) Forward rates may be estimated from spot rates.
Q3. The one-year spot rate is 5% and the two-year spot rate is 6.5%. What is the one-year forward rate starting one year from now?
A) 5.00%.
B) 7.87%.
C) 8.02%.
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发表于 2009-3-4 09:45
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