CFA考試一級(jí)章節(jié)練習(xí)題精選0329-43(附詳解)

1、CFA考試一級(jí)章節(jié)練習(xí)題精選 0329-43 （附詳解）1、 Which of these is the best example of an embedded option granted to bondholders?【單選題】A. A prepayment optionB. A floor on a floating rate securityC. An accelerated sinking fund provision正確答案 :B” Frank J. Fabozzi, CFA答案解析 : “ Features of Debt Securities, 2011 Modular Lev

2、el I, Vol. 5, p. 337Study Session 15-61-eIdentify the common options embedded in a bond issue, explain the importance of embedded options, and state whether such options benefit the issuer or the bondholder.B is correct because the floor benefits the bondholder by keeping the coupon from falling bel

3、ow a certain threshold if market rates decline to very low levels.2、 An analyst does research about reinvestment risk.Which of the following securitiesis most likely to be subject to reinvestment risk during the period of time betweenissuance and maturity? 【單選題】A. Treasury bills.B. Treasury notes.1O

4、n the basis of these spot rates, the p rice of the bond today is closest to:【單選題】C.Treasury coupon stri ps.正確答案:B答案解析:Treasury bills是美國(guó)國(guó)庫(kù)券，是短期債券，而且是完全折價(jià)債券，到期前沒(méi)有利息，到期時(shí)一次還本，所以沒(méi)有再投資風(fēng)險(xiǎn);Treasury couponstrips是美國(guó)本息剝離的國(guó)債， 投資銀行將美國(guó)的中長(zhǎng)期國(guó)債的每一筆利息和本金拆分成不同期限的完全折價(jià)債券，所以也沒(méi)有再投資風(fēng)險(xiǎn)； 而Treasurynotes是美國(guó)中期國(guó)債，每半年發(fā)放一次利息，會(huì)有再投資

5、風(fēng)險(xiǎn)。3、 Eldora Ltd. recently issued deferred -coupon bonds for which no coupon payments will be paid in the first two years of the bonds life. Regular annualcoupon p ayments at a rate of 9% will then be made until the bonds mature at the end of six years. The spot rates for variousmaturities are given

6、 in thefollowing table.Time to MaturitySpot Rate1 year8,0%2 years7.5%3 years7.0%4 yea rs6-5%5 years6.0%6 years5.5%5A. 100.12.B. 108.20.C. 116.24.正確答案:A答案解析：The bond price is computed as:Po = 9/(1.070)3 + 9/(1.065) + 9/(1.060) + (9 + 100)/(1.055) = 10042.2014 CFA Level IIntroduction to Fixed -Income

7、Valuation, by James F. Adams and Donald J. SmithSection 2.4-free, fixed -ratebonds with a Macaulay duration of 10.5. The investor4、 A long -term bond investor with an investment horizon of 8 years invests in optionmost likely currently has a: 【單選題】A. po sitive duration gap and is currently exp osed

8、to the risk of lower interest rates.B. negative duration gap and is currently expo sed to the risk of higher interest rates.C. p ositive duration gap and is currently expo sed to the risk of higher interest rates.正確答案:C答案解析 :The duration gap is the bonds Macaulay duration minus the investment horizo

9、n, which is positive inthis case. A positive duration gap implies that the investor is currently exposed to the risk of higherinterest rates.CFA Level I Understanding Fixed -Income Risk and Return, James F. Adams and Donald J. Smith單選題】Section 4.2 5、 Which of the following measures of interest rate risk is most appropriate forbonds with prepayment