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5、Consider a semiannual pay bond with two years to maturity, a 6 percent coupon, and a yield to maturity of 8 percent.
The Macaulay and modified duration of this bond are closest to:
A) 1.91 and 1.84.
B) 1.94 and 1.86.
C) 1.96 and 1.84.
D) 1.86 and 1.74.
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The correct answer is A
Term
Cash Flow
PV of Cash Flow
Time-Weighted PV
0.5
3
2.8846
1.4423
1.0
2.7737
1.5
2.6670
4.0005
2.0
103
88.0448
176.0896
$96.3701
$184.3061
DMAC = $184.3061 / $96.3701 = 1.91; DMOD = 1.91/ 1.04 = 1.84
The convexity of this bond, based on a change in the yield to maturity of 50 basis points (i.e., Dy = 0.5%), is closest to:
A) 4.15.
B) 4.75.
C) 4.94.
D) 2.08.
Based on bond values at yields to maturity of 7.5% and 8.5%,
6、Of the following, the bond with the lowest Macaulay duration is the:
A) 10%, 10-year Treasury.
B) 8.5%, 10-year Treasury.
C) 10-year, zero-coupon corporate.
D) 10%, perpetual pay (consol) bond.
Both the consol and the corporate have a 10-year duration. The 10% coupon Treasury has a shorter duration than the 8.5% Treasury because coupon and duration are inversely related, all else equal.
7、Estimate the Macaulay and modified durations of a 2-year, annual-pay bond paying a 6 percent coupon and priced to yield 5 percent.
A) 2.00; 1.90.
B) 1.94; 1.85.
C) 6.00; 5.00.
D) 1.05; 1.06.
The correct answer is B
Macaulay Duration
N
CF
PV of CFw
% of total
N ′ % of total
1
$6
$5.7143
0.0561
2
$106
$96.1451
0.9439
1.8878
$101.8594
1.0000
1.9439
modified duration = (1.9439 / 1.05) = 1.8513
8、The Macaulay and modified duration of a 2-year annual pay bond paying an 8 percent coupon and priced to yield 10 percent are closest to:
A) 1.75; 1.92.
B) 8.00; 10.00.
C) 1.92; 1.75.
D) 1.08; 1.10.
The correct answer is C
PV of CF
% of total PV
N x % of total PV
$8
$7.2727
0.0753
$108
$89.2562
0.9247
1.89494
Sum
$96.528
1.000
1.9247≈1.92
发表于 2009-6-29 10:56
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