答案和详解如下：
Q1. A Treasury bill with a face value of $1,000,000 and 45 days until maturity is selling for $987,000. The Treasury bill’s bank discount yield is closest to: A) 10.54%. B) 10.40%. C) 7.90%. Correct answer is B) The actual discount is 1.3%, 1.3% × (360 / 45) = 10.4% The bank discount yield is computed by the following formula, r = (dollar discount / face value) × (360 / number of days until maturity) = [(1,000,000 − 987,000) / (1,000,000)] × (360 / 45) = 10.40%. Q2. What is the effective annual yield for a Treasury bill priced at $98,853 with a face value of $100,000 and 90 days remaining until maturity? A) 4.79%. B) 1.16%. C) 4.64%. Correct answer is A) HPY = (100,000 − 98,853) / 98,853 = 1.16% EAY = (1 + 0.0116)365/90 − 1 = 4.79% Q3. A T-bill with a face value of $100,000 and 140 days until maturity is selling for $98,000. What is the effective annual yield (EAY)? A) 2.04%. B) 5.14%. C) 5.41%. Correct answer is C) The EAY takes the holding period yield and annualizes it based on a 365-day year accounting for compounding. HPY = (100,000 − 98,000) / 98,000 = 0.0204. EAY = (1 + HPY)365/t − 1 = (1.0204)365/140 − 1 = 0.05406 = 5.41%. Q4. A T-bill with a face value of $100,000 and 140 days until maturity is selling for $98,000. What is the money market yield? A) 5.25%. B) 5.41%. C) 2.04%. Correct answer is A) The money market yield is equivalent to the holding period yield annualized based on a 360-day year. = (2,000 / 98,000)(360 / 140) = 0.0525, or 5.25%. Q5. A T-bill with a face value of $100,000 and 140 days until maturity is selling for $98,000. What is its holding period yield? A) 5.25%. B) 2.04%. C) 5.14%. Correct answer is B) The holding period yield is the return the investor will earn if the T-bill is held to maturity. HPY = (100,000 – 98,000) / 98,000 = 0.0204, or 2.04%. | 
发表于 2008-12-30 17:12
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