标题: Reading 6: Discounted Cash Flow Applications-LOS e 习题精选 [打印本页]
作者: 1215 时间: 2011-2-28 15:50 标题: [2011]Session 2-Reading 6: Discounted Cash Flow Applications-LOS e 习题精选
Session 2: Quantitative Methods: Basic Concepts
Reading 6: Discounted Cash Flow Applications
LOS e: Calculate and interpret the bank discount yield, holding period yield, effective annual yield, and money market yield for a U.S. Treasury bill.
A 10% coupon bond was purchased for $1,000. One year later the bond was sold for $915 to yield 11%. The investor's holding period yield on this bond is closest to:
HPY = [(interest + ending value) / beginning value] ? 1
= [(100 + 915) / 1,000] ? 1
= 1.015 ? 1 = 1.5%
作者: 1215 时间: 2011-2-28 15:50
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:
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%.
作者: 1215 时间: 2011-2-28 15:50
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?
HPY = (100,000 ? 98,853) / 98,853 = 1.16%
EAY = (1 + 0.0116)365/90 ? 1 = 4.79%
作者: 1215 时间: 2011-2-28 15:50
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)?
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%.
作者: 1215 时间: 2011-2-28 15:51
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?
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%.
作者: 1215 时间: 2011-2-28 15:51
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?
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%.
作者: 1215 时间: 2011-2-28 15:51
A T-bill with a face value of $100,000 and 140 days until maturity is selling for $98,000. What is the bank discount yield?
Actual discount is 2%, annualized discount is: 0.02(360 / 140) = 5.14%
作者: 1215 时间: 2011-2-28 15:51
A Treasury bill (T-bill) with a face value of $10,000 and 219 days until maturity is selling for 97.375% of face value. Which of the following is closest to the holding period yield on the T-bill if held until maturity?
The formula for holding period yield is: (P1 ? P0 + D1) / (P0), where D1 for a T-bill is zero (it does not have a coupon). Therefore, the HPY is: ($10,000 ? $9,737.50) / ($9,737.50) = 0.0270 = 2.70%.
Alternatively (100 / 97.375) ? 1 = 0.02696.
作者: 1215 时间: 2011-2-28 15:52
A Treasury bill (T-bill) with a face value of $10,000 and 44 days until maturity has a holding period yield of 1.1247%. Which of the following is closest to the effective annual yield on the T-bill?
The formula for the effective annual yield is: ((1 + HPY)365/t) ? 1. Therefore, the EAY is: ((1.011247)(365/44)) ? 1 = 0.0972, or 9.72%
作者: 1215 时间: 2011-2-28 15:52
A Treasury bill (T-bill) with 38 days until maturity has a bank discount yield of 3.82%. Which of the following is closest to the money market yield on the T-bill?
The formula for the money market yield is: [360 × bank discount yield] / [360 ? (t × bank discount yield)]. Therefore, the money market yield is: [360 × 0.0382] / [360 ? (38 × 0.0382)] = (13.752) / (358.548) = 0.0384, or 3.84%.
Alternatively: Actual discount = 3.82%(38 / 360) = 0.4032%.
T-Bill price = 100 ? 0.4032 = 99.5968%.
HPR = (100 / 99.5968) ? 1 = 0.4048%.
MMY = 0.4048% × (360 / 38) = 3.835%.
作者: 1215 时间: 2011-2-28 15:52
A Treasury bill has 40 days to maturity, a par value of $10,000, and was just purchased by an investor for $9,900. Its holding period yield is closest to:
The holding period yield is the return that the investor will earn if the bill is held until it matures. The holding period yield formula is (price received at maturity ? initial price + interest payments) / (initial price) = (10,000 ? 9,900 + 0) / (9,900) = 1.01%. Recall that when buying a T-bill, investors pay the face value less the discount and receive the face value at maturity.
作者: 1215 时间: 2011-2-28 15:53
A Treasury bill (T-bill) with a face value of $10,000 and 137 days until maturity is selling for 98.125% of face value. Which of the following is closest to the bank discount yield on the T-bill?
The formula for bank discount yield is: (D / F) × (360 / t). Actual discount is 1 ? 0.98125 = 0.01875. Annualized is: 0.01875 × (360 / 137) = 0.04927
作者: 1215 时间: 2011-2-28 15:53
What is the yield on a discount basis for a Treasury bill priced at $97,965 with a face value of $100,000 that has 172 days to maturity?
($2,035 / $100,000) × (360 / 172) = 0.04259 = 4.26% = bank discount yield.
作者: 1215 时间: 2011-2-28 15:53
A Treasury bill has 40 days to maturity, a par value of $10,000, and is currently selling for $9,900. Its effective annual yield is closest to:
The effective annual yield (EAY) is based on a 365-day year and accounts for compound interest. EAY = (1 + holding period yield)365/t ? 1. The holding period yield formula is (price received at maturity ? initial price + interest payments) / (initial price) = (10,000 ? 9,900 + 0) / (9,900) = 1.01%. EAY = (1.0101)365/40 ? 1 = 9.60%.
作者: 1215 时间: 2011-2-28 15:54
The bank discount of a $1,000,000 T-bill with 135 days until maturity that is currently selling for $979,000 is:
($21,000 / 1,000,000) × (360 / 135) = 5.6%.
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