［2008］Topic 27: Generalizations and Curve Fitting相关习题 interest, price

Baran

AIM 1: Compute the accrued interest and invoice price on a coupon bond.

 

1、Suppose a bond’s quoted price is 105 7/32 and the accrued interest is $23.54. If the bond has a par value of $1,000, what is the bond’s flat price?

A) $1,000.00.
 
B) $1,023.54.
 
C) $1,075.73.
 
D) $1,052.19.
 

Baran

The correct answer is D

The flat price is the bond price without the accrued interest, so it is equal to the quoted price of 105 7/32 = $1,052.19.

Baran

2、Which of the following statements concerning coupon rate structures is least accurate?

A) Zero-coupon bonds have only one cash inflow at maturity.
 
B) Accrual bonds have only one cash inflow at maturity.
 
C) Accrual bonds, like zero-coupon bonds, always sell at a discount to face value.
 
D) Step-up notes have coupon rates that increase over time at a pre-specified rate.

Baran

The correct answer is C

Accrual bonds, unlike zero-coupon bonds, do not always sell at a discount to face value. The interest accrues forward and thus the bonds are likely to sell for more than face value.

Baran

3、Assume a bond's quoted price is 105.22 and the accrued interest is $3.54. The bond has a par value of $100. What is the bond's clean price?

A) $100.00.
 
B) $103.54.
 
C) $105.22.
 
D) $108.76.

Baran

The correct answer is C

The clean price is the bond price without the accrued interest so it is equal to the quoted price.

Baran

4、 5% coupon bond with semi-annual coupon payments on a coupon payment date when the coupon has not been paid yet and the bond has a $1,000 par value. What is the accrued interest of the bond and what is the bond's full price?

Accrued Interest  Full Price
A)$25                            $1,000
B)$50                            $1,050
C)$25                            $1,025
D)$50                            $1,000

Baran

The correct answer is C 

 Accrued interest is found by simply dividing the coupon rate by two and then multiplying the result by $1,000. The full price or dirty price of the bond is the price of the bond plus accrued interest, if any.

Baran

5、If the issuer of a bond is in default, the bond will be trading:

A) registered.
 
B) flat.
 
C) on accrual.
 
D) off the market.

Baran

The correct answer is B

If an issuer of a bond is in default (i.e., it has not been making periodic contractual coupon payments), the bond is traded without accrued interest and is said to trade flat.
A registered bond is a bond whose owner's name is recorded as a book entry on the books of the issuer or its transfer agent.