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CFA Institute. For candidate use only. Not for distribution.
56 Reading 32 The Term Structure and Interest Rate Dynamics
PRACTICE PROBLEMS
1 Given spot rates for one-, two-, and three-year zero coupon bonds, how many
forward rates can be calculated?
2 Give two interpretations for the following forward rate: The two-year forward
rate one year from now is 2%.
3 Describe the relationship between forward rates and spot rates if the yield curve
is flat.
4 A ne the yield to maturity for a coupon bond.
B Is it possible for a coupon bond to earn less than the yield to maturity if held
to maturity?
5 If a bond trader believes that current forward rates overstate future spot rates,
how might he or she profit from that conclusion?
6 Explain the strategy of riding the yield curve.
7 What are the advantages of using the swap curve as a benchmark of interest
rates relative to a ernment bond yield curve?
8 Describe how the Z-spread can be used to price a bond.
9 What is the TED spread and what type of risk does it measure?
10 According to the local expectations theory, what woul
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