1． analyst observes that the current 6-month T-Bill rate is 8 percent (4 percent semi-annually) and the one-year T-Bill rate is 9 percent (4.5 percent semi-annually). There is an existing 1.5-year, 9 percent semi-annual coupon bond selling for $990. What is the annualized 1.5-year spot rate?

A)   8.0%.

B)   8.8%.

C)   9.8%.

D)   9.5%.

2．e 3-year spot rate is 10 percent, and the 4-year spot rate is 10.5 percent. What will the 1-year rate be 3 years from now?

A)   10.0%.

B)   11.0%.

C)   11.5%.

D)   12.0%.

3．ssume that a callable bond's call period starts two years from now with a call price of $102.50. Also assume that the bond pays an annual coupon of 6 percent and the term structure is flat at 5.5 percent. Which of the following is the price of the bond assuming that it is called on the first call date?

A)   $100.00.

B)   $103.17.

C)   $102.50.

D)   $104.54.

4．ing the following spot rates, what is the price of a three-year bond with annual coupon payments of 5 percent?

§ One-year rate: 4.78%

§ Two-year rate: 5.56%

§ Three-year rate: 5.98%

A)   $93.27.

B)   $97.38.

C)   $98.87.

D)   $97.47.

5．ven the following spot rate curve:

Spot Rate
1-yr zero = 9.50%
2-yr zero = 8.25%
3-yr zero = 8.00%
4-yr zero = 7.75%
5-yr zero = 7.75%

What will be the market price of a five-year, 9 percent annual coupon rate bond?

A)   $1,047.68.

B)   $1,000.00.

C)   $1,067.78.

D)   $1,114.44.

答案和详解如下：

1． analyst observes that the current 6-month T-Bill rate is 8 percent (4 percent semi-annually) and the one-year T-Bill rate is 9 percent (4.5 percent semi-annually). There is an existing 1.5-year, 9 percent semi-annual coupon bond selling for $990. What is the annualized 1.5-year spot rate?

A)   8.0%.

B)   8.8%.

C)   9.8%.

D)   9.5%.

The correct answer was C)

45 / (1.04) + 45 / (1.045)² + 1045 / (1 + Z₃)³ = 990
(1045 / 905.53 )^.3333 - 1 = Z₃ = 4.89%
Annualized = 9.8%.

2．e 3-year spot rate is 10 percent, and the 4-year spot rate is 10.5 percent. What will the 1-year rate be 3 years from now?

A)   10.0%.

B)   11.0%.

C)   11.5%.

D)   12.0%.

The correct answer was D)

[ (1 + Z₄)⁴ / (1 + Z₃)³ ] - 1 = 12.01% = 12%.

3．ssume that a callable bond's call period starts two years from now with a call price of $102.50. Also assume that the bond pays an annual coupon of 6 percent and the term structure is flat at 5.5 percent. Which of the following is the price of the bond assuming that it is called on the first call date?

A)   $100.00.

B)   $103.17.

C)   $102.50.

D)   $104.54.

The correct answer was B)

The bond price is computed as follows:

Bond price = 6/1.055 + (102.50 + 6)/1.055² = $103.17

4．ing the following spot rates, what is the price of a three-year bond with annual coupon payments of 5 percent?

§ One-year rate: 4.78%

§ Two-year rate: 5.56%

§ Three-year rate: 5.98%

A)   $93.27.

B)   $97.38.

C)   $98.87.

D)   $97.47.

The correct answer was D)

The bond price is computed as follows:

Bond price = 5/1.0478 + 5/1.0556² + 105/1.0598³ = $97.47

5．ven the following spot rate curve:

Spot Rate
1-yr zero = 9.50%
2-yr zero = 8.25%
3-yr zero = 8.00%
4-yr zero = 7.75%
5-yr zero = 7.75%

What will be the market price of a five-year, 9 percent annual coupon rate bond?

A)   $1,047.68.

B)   $1,000.00.

C)   $1,067.78.

D)   $1,114.44.

The correct answer was A)

90 / (1 + 0.095) + 90 / (1 + 0.0825)² + 90 / (1 + 0.08)³ + 90 / (1 + 0.0775)⁴ + 1,090 / (1 + 0.0775)⁵ = $1,047.68.