答案和详解如下：
Q1. An investor has just purchased a Treasury bill for $99,400. If the security matures in 40 days and has a holding period yield of 0.604%, what is its money market yield? A) 5.650%. B) 5.512%. C) 5.436%. Correct answer is C) The money market yield is the annualized yield on the basis of a 360-day year and does not take into account the effect of compounding. The money market yield = (holding period yield)(360 / number of days until maturity) = (0.604%)(360 / 40) = 5.436%. Q2. The effective annual yield (EAY) for a T-bill maturing in 150 days is 5.04%. What are the holding period yield (HPY) and money market yield (MMY) respectively? A) 5.25%; 2.04%. B) 2.04%; 4.90%. C) 2.80%; 5.41%. Correct answer is B) The EAY takes the holding period yield and annualizes it based on a 365-day year accounting for compounding. The HPY = (1 + 0.0504)150/365 = 1.2041 − 1 = 2.04%. Using the HPY to compute the money market yield = HPY × (360/t) = 0.0204 × (360/150) = 0.04896 = 4.90%. Q3. A Treasury bill, with 80 days until maturity, has an effective annual yield of 8%. Its holding period yield is closest to: A) 1.72%. B) 1.70%. C) 1.75%. Correct answer is B) The effective annual yield (EAY) is equal to the annualized holding period yield (HPY) based on a 365-day year. EAY = (1 + HPY)365/t − 1. HPY = (EAY + 1)t/365 − 1 = (1.08)80/365 − 1 = 1.70%. | 
发表于 2008-12-30 17:22
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