Reading 67: Introduction to the Valuation of Fixed Income

答案和详解如下：

6．What is the value of a zero-coupon bond if the term structure of interest rates is flat at 6 percent and the bond has two years remaining to maturity?

A)   88.85.

B)   83.75.

C)   91.76.

D)   100.00.

The correct answer was A)

The bond price is computed as follows:

Zero-Coupon Bond Price = 100/1.03⁴ = 88.85.

The value 83.75 is incorrect because the principal is discounted over a three-year period but the bond has only two years remaining to maturity. The value 100.00 is incorrect because the principal received at maturity has to be discounted over a period of two years.

7．What is the yield to maturity (YTM) of a 20-year, U.S. zero-coupon bond selling for $300?

A)   3.06%.

B)   5.90%.

C)   7.20%.

D)   6.11%.

The correct answer was D)

n = 40, PV = 300, FV = 1,000, compute i = 3.055*2 = 6.11.

8．If a 15-year, $1,000 U.S. zero-coupon bond is priced to yield 10 percent, what is its market price?

A)   $23.50.

B)   $239.39.

C)   $875.22.

D)   $231.38.

The correct answer was D)

N = 30, I/Y = 5, PMT = 0, FV = 1,000, CPT PV.

9．A 15-year zero coupon bond that has a par value of $1,000 and a required return of 8 percent would be priced at what value assuming annual compounding periods:

A)   $308.

B)   $464.

C)   $555.

D)   $315.

The correct answer was D)

N = 15
FV = 1,000
I = 8
PMT = 0
PV = ?
PV = 315.24

10．A zero-coupon bond has a yield to maturity of 9.6 percent (annual basis) and a par value of $1,000. If the bond matures in 10 years, today's price of the bond would be:

A)   $422.41.

B)   $512.23.

C)   $399.85.

D)   $391.54.

The correct answer was C)

I = 9.6
FV = 1,000
N = 10
PMT = 0
PV = ?
PV = 399.85