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CFA一级 Fixed Income 经典习题

编辑:finance365/时间:2017-01-05/浏览:611 views

Fixed  Income 经典十题

【题1】 Which of the following statements is correct?
A. An accelerated sinking fund provision benefits bondholders.
B. A cap on floater benefits the bond issuer.C. The option embedded in the putable bond is more likely to be exercised by the issuer when interest rate increases.

【题2】With respect to bond yield spreads, is the term structure of spot rates considered when determining the:Nominal yield spread      Zero-volatility yield spread

A.       No                              NoB.       No                              Yes

C.       Yes                              No

【题3】An investor purchases a bond that is putable at the option of the holder. The option has value. He has calculated the Z-spread as 223 basis points. The option-adjusted spread will be:

A. Equal to 233 bps

B. Less than 223 bps

C. Greater than 223 bps

【题4】 Treasury spot rates are as follows: 6-month = 4%, 1-year = 5%, 1.5 years = 6%. A 1.5-year 4% semi-annual pay Treasury note is selling for $965. The arbitrage trade and arbitrage profit are:

A. Buy the bond, sell the pieces, earn $7.09 per bond.

B. Sell the bond, buy the pieces, earn $7.09 per bond.

C. Sell the bond, buy the pieces, earn $7.91 per bond.

【题5】An investor buys a pure-discount bond, holds it to maturity, and receives its par value. For tax purposes, the increase in the bond’s value is most likely to be treated as:

A. a capital gain

B. interest income

C. tax-exempt income

【题6】A corporate bond offers a 5% coupon rate and has exactly 3 years remaining to maturity. Interest is paid annually. The following rates are from the benchmark spot curve:

20170104105153001.png

The bond is currently trading at a Z-spread of 234 basis points. The value of the bond is closet to:

A. 92.38

B. 98.35

C. 106.56

【题7】Both bonds pay interest annually. The current three-year EUR interest rate swap benchmark is 2.12%.

20170104105223002.png

The G-spread in basis points (bps) on the U.K. corporate bond is closest to:

A. 264 bps

B. 285 bps

C. 300 bps

【题8~9】 All three bonds are currently trading at par value.

20170104105250003.png

Q1:Relative to Bond C, for a 200 basis point decrease in the required rate of return, Bond B will most likely exhibit a(n):

A. Equal percentage price change.

B. Greater percentage price change.

C. Smaller percentage price change.

Q2:Which bond will most likely experience the greatest percentage change in price if the market discount rates for all three bonds increase by 100 basis points?

A. Bond A

B. Bond B

C. Bond C

【题10】 All rates are annual rates stated for a periodicity of one (effective annual rate). The 3-year implied spot rate is closest to:

20170104105311004.png

Note:0y1y代表从现在开始,期限为1年的债券;1y1y代表一年以后,期限为1年的债券,以此类推

A. 1.18%

B. 1.94%

C. 2.28%

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