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LOS g: Compute and interpret yield volatility.
Q1. What is the annualized yield volatility if the daily yield volatility is equal to 0.6754%?
A) 10.68%.
B) 9.73%.
C) 168.85%.
Q2. Suppose that the sample mean of 25 daily yield changes is 0.08%, and the sum of the squared deviations from the mean is 9.6464. Which of the following is the closest to the daily yield volatility?
A) 0.6340%.
B) 0.4019%.
C) 0.3859%.
Q3. Yield volatility is a measure of the:
A) relative daily yield changes over a period.
B) absolute daily yield changes over a period.
C) difference in the beginning interest rate and ending interest rate over a period.
Q4. For a given three-day period, the interest rates are 4.0%, 4.1%, and 4.0%. What is the yield volatility over this period?
A) 0.0577.
B) 0.0000.
C) 0.0349.
Q5. Which of the following is the most important consideration in determining the number of observations to use to estimate the yield volatility?
A) The appropriate time horizon.
B) The liquidity of the underlying instrument.
C) The shape of the yield curve.
Q6. Which of the following is a major consideration when the daily yield volatility is annualized?
A) The appropriate day multiple to use for a year.
B) The appropriate time horizon.
C) The shape of the yield curve. | 
发表于 2009-3-18 16:53
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