CFA一级百题进阶：固收.doc

7. Fixed Income Q-1. A 5-year, 5% semiannual coupon payment corporate bond is priced at 104.967 per 100 of par value. The bonds yield-to-maturity, quoted on a semiannual bond basis, is 3.897%. An analyst has been asked to convert to a monthly periodicity. Under this conversion, the yield-to-maturity is closest to: A. 3.87%. B. 4.95%. C. 7.67%. Solution: A. 0.03897 YTM (1? )2 ? (1? 12 )12 2 12 YTM ? 0.00322*12 ? 0.0387 12 1-15 Q-2. A 10% coupon bond with annual payments, maturing in 3 years, is priced at 105. The bond is callable in one year at a call price of 104 or two years at a call price of 102. The bonds yield to worst most likely occurs when the bond is: A. Called in year 1. B. Called in year2. C. Held until maturity. Solution: C. The yield to worst for a callable bond is the lowest of the yields to call for each possible call date and the yield to maturity. The yield to call or yield to maturity solves the following equation: T ? P ? CF / (1? i) t t , where i is the yield to call, or yield to maturity CF is the cash flow at date t, t?1 and T is the maturity or call date. 10 ?104 The yield to call if the bond is called in one year is 8.57%, because 105= 1.0857 10 1.0815 1 10?102 The yield to call if the bond is called in two years is 8.15%, because 105= . ? 1 1.0815 2 10 10 10?100 The yield to maturity of the bond is 8.06%, because105 ? ? ? . The 1.08061 1.08062 1.08063 yield to worst is the lowest of these and occurs when the bond is held until maturity (i.e., it is the yield to maturity). 2-15 Q-3. Assume the US Treasury forward rates as follows, the value of a 2 year $1000 par value semi-annually Treasury bond with a 6% coupon rate is closest to: Period Forward Rate 1 2 3 4 1.40% 2.00% 2.50% 2.90% A. $1076.82 B. $1074.33 C. $1072.46 Solution: B. The value of the bond is 30 30 30 ? ? (1? 0.014 / 2) (1? 0.014 / 2)(1?0.02 / 2) (1?0.014 / 2)(1? 0.02 / 2)(1? 0.025 / 2) 1030 ? (1? 0.014 / 2)(1? 0.02 / 2)(1?0.025 / 2)(1?0.029 / 2) ? $1074.33 3-15 Q-4. Which of th