CFA特許金融分析師-CFA二級-基礎(chǔ)鞏固（參考）-FixedIncome

CFA特許金融分析師-CFA二級-基礎(chǔ)鞏固（參考）-FixedIncome共享題干題KatrinaBlack,portfoliomanageratCoralBondManagement,Lt（江南博哥）d.,isconductingatrainingsessionwithAlexSun,ajunioranalystinthefixedincomedepartment.BlackwantstoexplaintoSunthearbitrage-freevaluationframeworkusedbythefirm.BlackpresentsSunwithExhibit1,showingafictitiousbondbeingtradedonthreeexchanges,andasksSuntoidentifythearbitrageopportunityofthebond.Sunagreestoignoretransactioncostsinhisanalysis.BlackshowsSunsomeexhibitsthatwerepartofarecentpresentation.Exhibit3presentsmostofthedataofabinomiallognormalinterestratetreefittotheyieldcurveshowninExhibit2.Exhibit4presentsmostofthedataoftheimpliedvaluesforafour-year,option-free,annualpaybondwitha2.5%couponbasedontheinformationinExhibit3.BlackasksaboutthemissingdatainExhibits3and4anddirectsSuntocompletethefollowingtasksrelatedtothoseexhibits:Task1Testthatthebinomialinteresttreehasbeenproperlycalibratedtobearbitrage-free.Task2Developaspreadsheetmodeltocalculatepathwisevaluations.Totesttheaccuracyofthespreadsheet,usethedatainExhibit3andcalculatethevalueofthebondifittakesapathoflowestratesinYear1andYear2andthesecondlowestrateinYear3.Task3IdentifyatypeofbondwheretheMonteCarlocalibrationmethodshouldbeusedinplaceofthebinomialinterestratemethod.Task4UpdateExhibit3toreflectthecurrentvolatility,whichisnow15%.[單選題]1.BasedonExhibit1,thebestactionthataninvestorshouldtaketoprofitfromthearbitrageopportunityisto:A.buyonFrankfurt,sellonEurex.B.buyonNYSEEuronext,sellonEurex.C.buyonFrankfurt,sellonNYSEEuronext.正確答案：A參考解析：Thisisthesamebondbeingsoldatthreedifferentpricessoanarbitrageopportunityexistsbybuyingthebondfromtheexchangewhereitispricedlowestandimmediatelysellingitontheexchangethathasthehighestprice.Accordingly,aninvestorwouldmaximizeprofitfromthearbitrageopportunitybybuyingthebondontheFrankfurtexchange(whichhasthelowestpriceof€103.7565)andsellingitontheEurexexchange(whichhasthehighestpriceof€103.7956)togeneratearisk-freeprofitof€0.0391(asmentioned,ignoringtransactioncosts)per€100par.BisincorrectbecausebuyingonNYSEEuronextandsellingonEurexwouldresultinan€0.0141profitper€100par(€103.7956–€103.7815=€0.0141),whichisnotthemaximumarbitrageprofitavailable.AgreaterprofitwouldberealizedifthebondwerepurchasedinFrankfurtandsoldonEurex.CisincorrectbecausebuyingonFrankfurtandsellingonNYSEEuronextwouldresultinan€0.0250profitper€100par(€103.7815–€103.7565=€0.0250).AgreaterprofitwouldberealizedifthebondwerepurchasedinFrankfurtandsoldonEurex.[單選題]2.BasedonExhibits1and2,theexchangethatreflectsthearbitrage-freepriceofthebondis:A.Eurex.B.Frankfurt.C.NYSEEuronext.正確答案：C參考解析：AisincorrectbecausethepriceontheEurexexchange,€103.7956,wascalculatedusingtheyieldtomaturityratetodiscountthecashflowswhenthespotratesshouldhavebeenused.CisincorrectbecausethepriceontheFrankfurtexchange,€103.7565,usestheYear3spotratetodiscountallthecashflows.[單選題]4.BasedontheinformationinExhibits3and4,thebondpriceineurosatNode1–2inExhibit4isclosestto:A.102.7917.B.104.8640.C.105.2917.正確答案：A參考解析：Thevalueofabondataparticularnode,inthiscaseNode1–2,canbederivedbyworkingbackwardsfromthetwonodestotherightofthatnodeonthetree.Inthiscase,thosetwonodesarethemiddlenodeinYear2,equalto101.5168,andthelowernodeinYear2,equalto102.1350.Thecouponpaymentis2.5.ThebondvalueatNode1–2iscalculatedasfollows:Value=[2.5+(0.5×101.5168+0.5×102.135)]/1.014925=102.7917[單選題]5.AbenefitofperformingTask1isthatit:A.enablesthemodeltopricebondswithembeddedoptions.B.identifiesbenchmarkbondsthathavebeenmispricedbythemarket.C.allowsinvestorstorealizearbitrageprofitsthroughstrippingandreconstitution.正確答案：A參考解析：Calibratingabinomialinterestratetreetomatchaspecifictermstructureisimportantbecausewecanusetheknownvaluationofabenchmarkbondfromthespotratepricingtoverifytheaccuracyoftheratesshowninthebinomialinterestratetree.Onceitsaccuracyisconfirmed,theinterestratetreecanthenbeusedtovaluebondswithembeddedoptions.Whilediscountingwithspotrateswillproducearbitrage-freevaluationsforoption-freebonds,thisspotratemethodwillnotworkforbondswithembeddedoptionswhereexpectedfuturecashflowsareinterest-ratedependent(asratechangesimpactthelikelihoodofoptionsbeingexercised).Theinterestratetreeallowsforthealternativepathsthatabondwithembeddedoptionsmighttake.Bisincorrectbecausecalibrationdoesnotidentifymispricedbenchmarkbonds.Infact,benchmarkbondsareemployedtoprovetheaccuracyofthebinomialinterestratetree,astheyareassumedtobecorrectlypricedbythemarket.Cisincorrectbecausethecalibrationofthebinomialinterestratetreeisdesignedtoproduceanarbitrage-freevaluationapproachandsuchanapproachdoesnotallowamarketparticipanttorealizearbitrageprofitsthoughstrippingandreconstitution.[單選題]6.IftheassumedvolatilityischangedasBlackrequestedinTask4,theforwardratesshowninExhibit3willmostlikely:A.spreadout.B.remainunchanged.C.convergetothespotrates.正確答案：A參考解析：Volatilityisoneofthetwokeyassumptionsrequiredtoestimateratesforthebinomialinterestratetree.Increasingthevolatilityfrom10%to15%wouldcausethepossibleforwardratestospreadoutonthetreeasitincreasestheexponentintherelationshipmultiplebetweennodes(exσ,wherex=2timesthenumberofnodesabovethelowestnodeinagivenyearintheinterestratetree).Conversely,usingalowerestimateofvolatilitywouldcausetheforwardratestonarroworconvergetotheimpliedforwardratesfromtheprevailingyieldcurve.Bisincorrectbecausevolatilityisakeyassumptioninthebinomialinterestratetreemodel.Anychangeinvolatilitywillcauseachangeintheimpliedforwardrates.Cisincorrectbecauseincreasingthevolatilityfrom10%to15%causesthepossibleforwardratestospreadoutonthetree,notconvergetotheimpliedforwardratesfromthecurrentyieldcurve.Rateswillconvergetotheimpliedforwardrateswhenlowerestimatesofvolatilityareassumed.UNABCorporationOn1January20X2,DeemAdvisorspurchaseda$10millionsix-yearseniorunsecuredbondissuedbyUNABCorporation.Sixmonthslater(1July20X2),concernedabouttheportfolio'screditexposuretoUNAB,DorisMorrison,thechiefinvestmentofficeratDeemAdvisors,purchasesa$10millionCDSwithastandardizedcouponrateof5%.ThereferenceobligationoftheCDSistheUNABbondownedbyDeemAdvisors.On1January20X3,MorrisonasksBillWatt,aderivativesanalyst,toassessthecurrentcreditqualityofUNABbondsandthevalueofDeemAdvisor'sCDSonUNABdebt.WattgathersthefollowinginformationontheUNAB'sdebtissuescurrentlytradinginthemarket:?Bond1:Atwo-yearseniorunsecuredbondtradingat40%ofpar?Bond2:Asix-yearseniorunsecuredbondtradingat50%ofpar?Bond3:Asix-yearsubordinatedunsecuredbondtradingat20%ofparWithrespecttothecreditqualityofUNAB,Wattmakesthefollowingstatement:“Thereisseverenear-termstressinthefinancialmarketsandUNAB'screditcurveclearlyreflectsthedifficultenvironment.”O(jiān)n1July20X3,UNABfailstomakeascheduledinterestpaymentontheoutstandingsubordinatedunsecuredobligationafteragraceperiod;however,thecompanydoesnotfileforbankruptcy.MorrisonasksWatttodetermineifUNABexperiencedacrediteventand,ifso,torecommendasettlementpreference.KandCorporationMorrisonisconsideringpurchasinga10-yearCDSonKandCorporationdebttohedgeitscurrentportfolioposition.SheinstructsWatttodetermineifanupfrontpaymentwouldberequiredand,ifso,theamountofthepremium.WattpresentstheinformationfortheCDSinExhibit1.Morrisonpurchasesthe10-yearCDSonKandCorporationdebt.TwomonthslaterthecreditspreadforKandCorp.hasincreasedby200basispoints.MorrisonasksWatttocloseoutthefirm'sCDSpositiononKandCorporationbyenteringintonewoffsettingcontracts.TolluntCorporationDeemAdvisors'chiefcreditanalystrecentlyreportedthatTolluntCorporation'sfive-yearbondiscurrentlyyielding7%andacomparableCDScontracthasacreditspreadof4.25%.SinceLiboris2.5%,WatthasrecommendedexecutingabasistradetotakeadvantageofthepricingoftheTollunt'sbondsandCDS.ThebasistradewouldconsistofpurchasingboththebondandtheCDScontract.[單選題]7.IfUNABexperiencedacrediteventon1July,WattshouldrecommendthatDeemAdvisors:A.preferacashsettlement.B.preferaphysicalsettlement.C.beindifferentbetweenacashoraphysicalsettlement.正確答案：A參考解析：DeemAdvisorswouldpreferacashsettlement.DeemAdvisorsownsBond2(tradingat50%ofpar),whichisworthmorethanthecheapest-to-deliverobligation(Bond1tradingat40%ofpar).DeemAdvisorscancashsettlefor$6million[=(1–40%)×$10million]onitsCDScontractandsellBond2itownsfor$5million,fortotalproceedsof$11million.IfDeemAdvisorsweretophysicallysettlethecontract,only$10millionwouldbereceived,thefaceamountofthebondsandtheywoulddeliverBond2.BisincorrectbecauseifDeemAdvisorsweretophysicallysettlethecontract,theywouldreceiveonly$10million,whichislessthanthe$11millionthatcouldbeobtainedfromacashsettlement.CisincorrectbecauseDeemAdvisorswouldnotbeindifferentbetweensettlementprotocolsasthefirmwouldreceive$1millionmorewithacashsettlementincomparisontoaphysicalsettlement.[單選題]8.AccordingtoWatt'sstatement,theshapeofUNAB'screditcurveismostlikely:A.flat.B.upward-sloping.C.downward-sloping.正確答案：C參考解析：Adownward-slopingcreditcurveimpliesagreaterprobabilityofdefaultintheearlieryearsthaninthelateryears.Downward-slopingcurvesarelesscommonandoftenaretheresultofseverenear-termstressinthefinancialmarkets.Aisincorrectbecauseaflatcreditcurveimpliesaconstanthazardrate(relevantprobabilityofdefault).Bisincorrectbecauseanupward-slopingcreditcurveimpliesagreaterprobabilityofdefaultinlateryears.[單選題]9.ShouldWattconcludethatUNABexperiencedacreditevent?A.Yes.B.No,becauseUNABdidnotfileforbankruptcy.C.No,becausethefailuretopayoccurredonasubordinatedunsecuredbond.正確答案：A參考解析：UNABexperiencedacrediteventwhenitfailedtomakethescheduledcouponpaymentontheoutstandingsubordinatedunsecuredobligation.Failuretopay,acreditevent,occurswhenaborrowerdoesnotmakeascheduledpaymentofprincipalorinterestonanyoutstandingobligationsafteragraceperiod,evenwithoutaformalbankruptcyfiling.Bisincorrectbecauseacrediteventcanoccurwithoutfilingforbankruptcy.Therearethreegeneraltypesofcreditevents:bankruptcy,failuretopay,andrestructuring.Cisincorrectbecauseacreditevent(failuretopay)occurswhenaborrowerdoesnotmakeascheduledpaymentofprincipalorinterestonanyoutstandingobligationsafteragraceperiod,withoutaformalbankruptcyfiling.[單選題]10.BasedonExhibit1,theupfrontpremiumasapercentofthenotionalfortheCDSprotectiononKandCorp.wouldbeclosestto:A.2.0%.B.9.8%.C.14.0%.正確答案：C參考解析：Anapproximationfortheupfrontpremiumisthe(Creditspread–Fixedcouponrate)×DurationoftheCDS.Tobuy10-yearCDSprotection,DeemAdvisorswouldhavetopayanapproximateupfrontpremiumof1400basispoints[(700–500)×7],or14%ofthenotional.Aisincorrectbecause200basispoints,or2%,isderivedbytakingthesimpledifferencebetweenthecreditspreadandthefixedcouponrate(700–500).Bisincorrectbecause980basispoints,or9.8%,istheresultofdividingthecreditspreadbythefixedcouponrateandmultiplyingbythedurationoftheCDS[(700/500)×7].[單選題]11.IfDeemAdvisorsentersintoanewoffsettingcontracttwomonthsafterpurchasingtheCDSprotectiononKandCorporation,thisactionwillmostlikelyresultin:A.alossontheCDSposition.B.againontheCDSposition.C.neitheralossoragainontheCDSposition.正確答案：B參考解析：DeemAdvisorspurchasedprotection,andthereforeiseconomicallyshortandbenefitsfromanincreaseinthecompany'sspread.Sinceputtingontheprotection,thecreditspreadincreasedby200basispoints,andDeemAdvisorsrealizesthegainbyenteringintoanewoffsettingcontract(sellstheprotectionforahigherpremiumtoanotherparty).Aisincorrectbecauseadecrease(notincrease)inthespreadwouldresultinalossforthecreditprotectionbuyer.CisincorrectbecauseDeemAdvisors,thecreditprotectionbuyer,wouldprofitfromanincreaseinthecompany'screditspread,notbreakeven.[單選題]12.BasedonbasistradeforTolluntCorporation,ifconvergenceoccursinthebondandCDSmarkets,thetradewillcaptureaprofitclosestto:A.0.25%.B.1.75%.C.2.75%.正確答案：A參考解析：AdifferenceincreditspreadsinthebondmarketandCDSmarketisthefoundationofthebasistradestrategy.IfthespreadishigherinthebondmarketthantheCDSmarket,itissaidtobeanegativebasis.Inthiscase,thebondcreditspreadiscurrently4.50%(bondyieldminusLibor)andthecomparableCDScontracthasacreditspreadof4.25%.ThecreditriskischeapintheCDSmarketrelativetothebondmarket.Sincetheprotectionandthebondwerebothpurchased,ifconvergenceoccurs,thetradewillcapturethe0.25%differentialinthetwomarkets(4.50%–4.25%).Bisincorrectbecausethebondmarketimpliesa4.50%creditriskpremium(bondyieldminusLibor)andtheCDSmarketimpliesa4.25%creditriskpremium.ConvergenceofthebondmarketcreditriskpremiumandtheCDScreditriskpremiumwouldresultincapturingthedifferential,0.25%.The1.75%isderivedbyincorrectlysubtractingLiborfromthecreditspreadontheCDS(=4.25%–2.50%).CisincorrectbecauseconvergenceofthebondmarketcreditriskpremiumandtheCDScreditriskpremiumwouldresultincapturingthedifferential,0.25%.The2.75%isderivedincorrectlybysubtractingthecreditspreadontheCDSfromthecurrentbondyield(=7.00%–4.25%).JulesBianchiisabondanalystforManevalInvestments,lnc.Bianchigathersdataonthreecorporatebonds,asshowninExhibit1.Toassesstheinterestrateriskofthethreebonds,Bianchiconstructstwobinomialinterestratetreesbasedona10%interestratevolatilityassumptionandacurrentone-yearrateof1%.PanelAofExhibit2providesaninterestratetreeassumingthebenchmarkyieldcurveshiftsdownby30bps,andPanelBprovidesaninterestratetreeassumingthebenchmarkyieldcurveshiftsupby30bps.BianchideterminesthattheAIbondiscurrentlytradingatanoption-adjustedspread(OAS)of13.95bpsrelativetothebenchmarkyieldcurve.ArmandGillette,aconvertiblebondanalyst,stopsbyBianchi'sofficetodiscusstwoconvertiblebonds.OneisissuedbyDeLilleEnterprises(DE)andtheotherisissuedbyRaffarinIncorporated(RI).SelecteddataforthetwobondsarepresentedinExhibits3and4.GillettemakesthefollowingcommentstoBianchi:■“TheDEbonddoesnotcontainanycallorputoptionsbuttheRIbondcontainsbothanembeddedcalloptionandputoption.IexpectthatDeLilleEnterpriseswillsoonannounceacommonstockdividendof€0.70pershare.”■“Mybeliefisthat,overthenextyear,Raffarin'ssharepricewillappreciatetowardtheconversionpricebutnotexceedit.”[單選題]13.BasedonExhibits1and2,theeffectivedurationfortheAIbondisclosestto:A.1.98B.2.15C.2.73正確答案：B參考解析：[單選題]14.Ifbenchmarkyieldsweretofall,whichbondinExhibit1wouldmostlikelyexperienceadeclineineffectiveduration?A.AIbondB.BIbondC.CEbond正確答案：A參考解析：TheAIbondisacallablebondandtheeffectivedurationofacallablebonddecreaseswheninterestratesfall.Thereasonisbecauseadeclineininterestratesmayresultinthecalloptionmovingintothemoney,whichlimitsthepriceappreciationofthecallablebond.Exhibit1alsoshowsthatthepriceoftheAlbondis100.200andthatitiscallableatparinoneyearandtwoyears.Thus,thecalloptionisalreadyinthemoneyandwouldlikelybeexercisedinresponsetoincreasesintheAlbond'sprice.[單選題]15.BasedonExhibit1,fortheBIbond,one-sided:A.up-durationwillbegreaterthatone-sideddown-duration.B.down-durationwillbegreaterthanone-sidedup-duration.C.up-durationandone-sideddown-durationwillbeaboutequal.正確答案：C參考解析：TheBIbondisanoption-freebondandone-sidedup-durationandone-sideddown-durationwillbeaboutequalforoption-freebonds.[單選題]16.BasedonExhibit1,whichkeyratedurationisthelargestfortheBIbond?A.One-yearkeyratedurationB.Two-yearkeyratedurationC.Three-yearkeyrateduration正確答案：C參考解析：TheBIbondisanoption-freebond.Itslongestkeyratedurationwillbeintheyearofitsmaturitybecausethelargestcashflow(paymentofbothcouponandprincipal)occursinthatyear.[單選題]17.WhichbondinExhibit1mostlikelyhasthelowesteffectiveconvexity?A.AIbondB.BIbondC.CEbond正確答案：A參考解析：Allelsebeingequal,acallablebondwillhavelowereffectiveconvexitythananoption-freebondwhenthecalloptionisinthemoney.Similarly,whenthecalloptionisinthemoney,acallablebondwillalsohavelowereffectiveconvexitythanaputablebondiftheputoptionisoutofthemoney.Exhibit1showsthatthecallableAlbondiscurrentlypricedslightlyhigherthanitscallpriceofparvalue,whichmeanstheembeddedcalloptionisinthemoney.TheputoptionembeddedintheCEbondisnotinthemoney;thebondiscurrentlypriced2.1%aboveparvalue.Thus,atthecurrentprice,theputableCEbondismorelikelytobehaveliketheoption-freeBIbond.Consequently,theeffectiveconvexityoftheAIbondwilllikelybelowerthantheoption-freeBIbondandtheputableCEbond.[單選題]18.BasedonExhibit3,ifDeLilleEnterprisespaysthedividendexpectedbyGillette,theconversionpriceoftheDEbondwill:A.beadjusteddownwardB.notbeadjusted.C.beadjustedupward.正確答案：A參考解析：TheconversionpricewouldbeadjusteddownwardbecauseGillette'sexpecteddividendpaymentof<50.70isgreaterthanthethresholddividendof€0.50.[單選題]19.BasedonExhibit3,themarketconversionpremiumpersharefortheDEbondon17September20X5isclosestto:A.€0.90.B.€2.13.C.€2.53.正確答案：B參考解析：Themarketconversionpremiumpershareisequaltothemarketconversionpriceminustheunderlyingshareprice.=Themarketconversionpriceiscalculatedasfollows:Marketconversionprice=Convertiblebond/Conversionratio=€1,123/€1,000/€10pershare=€11.23pershareThemarketconversionpremiumpershareisthencalculatedasfollows:Marketconversionpremiumpershare=Marketconversionprice-Underlyingshareprice=€1123一€9.10=€2.13[單選題]20.BasedonExhibit4,thearbitrage-freevalueoftheRIbondisclosestto:A.€814.B.€1,056.C.€1,108.正確答案：C參考解析：Thevalueofaconvertiblebondwithbothanembeddedcalloptionandaputoptioncanbedeterminedusingthefollowingformula:Valueofcallableputableconvertiblebond=Valueofstraightbond十Valueofcalloptionontheissuer'sstock-Valueofissuercalloption+Valueofinvestorputoption.Valueofcallableputablebond=€978+€147-€43+€26=€1,108[單選題]21.BasedonExhibit4andGillette'sforecastregardingRaffarin'sshareprice,thereturnontheRIbondoverthenextyearismostlikelytobe:A.lowerthanthereturnonRaffarin'scommonshares.B.thesameasthereturnonRaffarin'scommonshares.C.higherthanthereturnonRaffarin'scommonshares.正確答案：A參考解析：Overthenextyear,GillettebelievesthatRaffarin'ssharepricewillcontinuetoincreasetowardstheconversionpricebutnotexceedit.IfGillette'sforecastbecomestrue,thereturnontheRIbondwillincreasebutatalowerratethantheincreaseinRaffarin'ssharepricebecausetheconversionpriceisnotexpectedtobereached.RayesInvestmentAdvisersspecializesinfixed-incomeportfoliomanagement.MegRayes,theownerofthefirm,wouldliketoaddbondswithembeddedoptionstothefirm'sbondportfolio.RayeshasaskedMingfangHsu,oneofthefirm'sanalysts,toassistherinselectingandanalyzingbondsforpossibleinclusioninthefirm'sbondportfolio.Hsufirstselectstwocorporatebondsthatarecallableatparandhavethesamecharacteristicsintermsofmaturity,creditqualityandcalldates.Hsuusestheoptionadjustedspread(OAS)approachtoanalysethebonds,assuminganinterestratevolatilityof10%.TheresultsofhisanalysisarepresentedinExhibit1.HsuthenselectsthefourbondsissuedbyRW,Inc.giveninExhibit2.Thesebondsallhaveamaturityofthreeyearsandthesamecreditrating.Bonds#4and#5areidenticaltoBond#3,anoption-freebond,exceptthattheyeachincludeanembeddedoption.TovalueandanalyzeRW'sbonds,Hsuusesanestimatedinterestratevolatilityof15%andconstructsthebinomialinterestratetreeprovidedinExhibit3.RayesasksHsutodeterminethesensitivityofBond#4'spricetoa20bpsparallelshiftofthebenchmarkyieldcurve.TheresultsofHsu'scalculationsareshowninExhibit4.Hsualsoselectsthetwofloating-ratebondsissuedbyVarlep,plcgiveninExhibit5.Thesebondshaveamaturityofthreeyearsandthesamecreditrating.TovalueVarlep'sbonds,HsuconstructsthebinomialinterestratetreeprovidedinExhibit6.Last,HsuselectsthetwobondsissuedbyWhorton,Inc.giveninExhibit7.Thesebondsareclosetotheirmaturitydateandareidentical,exceptthatBond#9includesaconversionoption.Whorton'scommonstockiscurrentlytradingat$30pershare.[單選題]22.BasedonExhibit1,RayeswouldmostlikelyconcludethatrelativetoBond#1,Bond#2is:A.overpriced.B.fairlypriced.C.underpriced.正確答案：C參考解析：Theoption-adjustedspread(OAS)istheconstantspreadaddedtoalltheone-periodforwardratesthatmakesthearbitrage-freevalueofariskybondequaltoitsmarketprice.TheOASapproachisoftenusedtoassessbondrelativevalues.Iftwobondshavethesamecharacteristicsandcreditquality,theyshouldhavethesameOAS.Ifthisisnotthecase,thebondwiththelargestOAS(i.e.,Bond#2)islikelytobeunderpriced(cheap)relativetothebondwiththesmallestOAS(Bond#1).[單選題]23.TheeffectivedurationofBond#6is:A.lowerthanorequalto1.B.higherthan1butlowerthan3.C.higherthan3.正確答案：A參考解析：Theeffectivedurationofafloating-ratebondisclosetothetimetonextreset.AstheresetforBond#6isannual,theeffectivedurationofthisbondislowerthanorequalto1.[單選題]24.InExhibit2,thebondwhoseeffectivedurationwilllengthenifinterestratesriseis:A.Bond#3.B.Bond#4.C.Bond#5.正確答案：B參考解析：Effectivedurationindicatesthesensitivityofabond'spricetoa100bpsparallelshiftofthebenchmarkyieldcurveassumingnochangeinthebond'screditspread.Theeffectivedurationofanoption-freebondsuchasBond#3changesverylittleinresponsetointerestratemovements.Asinterestratesrise,acalloptionmovesoutofthemoney,whichincreasesthevalueofthecallablebondandlengthensitseffectiveduration.Incontrast,asinterestratesrise,aputoptionmovesintothemoney,whichlimitsthepricedepreciationoftheputablebondandshortensitseff