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Q7. Assume that an option-free 5% coupon bond with annual coupon payments has two years to maturity. A callable bond that is the same in every respect as the option-free bond is priced at 91.76. With the term structure flat at 6% what is the value of the embedded call option?
A) -8.24.
B) 6.41.
C) 4.58.
Q8. Using the following spot rates for pricing the bond, what is the present value of a three-year security that pays a fixed annual coupon of 6%?
- Year 1: 5.0%
- Year 2: 5.5%
- Year 3: 6.0%
A) 95.07.
B) 102.46.
C) 100.10.
Q9. If an investor purchases a 8 1/2s 2001 Feb. $10,000 par Treasury Note at 105:16 and holds it for exactly one year, what is the rate of return if the selling price is 105:16?
A) 8.06%.
B) 8.50%.
C) 8.00%.
Q10. An investor has the following options available to them:
- They can buy a 10% semi annual coupon, 10-year bond for $1,000.
- The coupons can be reinvested at 12%.
- They estimate the bond will be sold in 3 years $1,050.
Based on this information, what would be the average annual rate of return over the 3 years?
A) 11.5%.
B) 13.5%.
C) 9.5%.
Q11. What is the present value of a three-year security that pays a fixed annual coupon of 6% using a discount rate of 7%?
A) 92.48.
B) 100.00.
C) 97.38.
Q12. Assume an option-free 5% coupon bond with annual coupon payments has two years remaining to maturity. A putable bond that is the same in every respect as the option-free bond is priced at 101.76. With the term structure flat at 6% what is the value of the embedded put option?
A) 3.59.
B) 1.76.
C) -3.59.
Q13. James Walters, CFA, has collected data on the three year term structure of interest rates, shown in the table below as bond equivalent yields.
|
Term Structure of Interest Rates |
|
Year |
Spot Rate |
|
0.50 |
5.5227% |
|
1.00 |
5.5537% |
|
1.50 |
5.5444% |
|
2.00 |
5.5205% |
|
2.50 |
5.5114% |
|
3.00 |
5.5156% |
Walters would like to compute the price of a Treasury note with a coupon rate of 5.375% paid semi-annually and 1.5 years left to maturity. The price of this note is closest to:
A) 98.65.
B) 99.76.
C) 99.64.
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发表于 2009-3-2 17:46
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