CFA特许金融分析师-CFA二级-FixedIncome.docxVIP

CFA特许金融分析师-CFA二级-FixedIncome

共享题干题

JulesBianchiisabondanalystforManevalInvestments,lnc.Bianchi（江南博哥）gathersdataonthreecorporatebonds,asshowninExhibit1.Toassesstheinterestrateriskofthethreebonds,Bianchiconstructstwobinomialinterestratetreesbasedona10%interestratevolatilityassumptionandacurrentone-yearrateof1%.PanelAofExhibit2providesaninterestratetreeassumingthebenchmarkyieldcurveshiftsdownby30bps,andPanelBprovidesaninterestratetreeassumingthebenchmarkyieldcurveshiftsupby30bps.BianchideterminesthattheAIbondiscurrentlytradingatanoption-adjustedspread(OAS)of13.95bpsrelativetothebenchmarkyieldcurve.ArmandGillette,aconvertiblebondanalyst,stopsbyBianchisofficetodiscusstwoconvertiblebonds.OneisissuedbyDeLilleEnterprises(DE)andtheotherisissuedbyRaffarinIncorporated(RI).SelecteddataforthetwobondsarepresentedinExhibits3and4.GillettemakesthefollowingcommentstoBianchi:■“TheDEbonddoesnotcontainanycallorputoptionsbuttheRIbondcontainsbothanembeddedcalloptionandputoption.IexpectthatDeLilleEnterpriseswillsoonannounceacommonstockdividendof€0.70pershare.”■“Mybeliefisthat,overthenextyear,Raffarinssharepricewillappreciatetowardtheconversionpricebutnotexceedit.”

[单选题]1.BasedonExhibits1and2,theeffectivedurationfortheAIbondisclosestto:

A.1.98

B.2.15

C.2.73

正确答案：B

参考解析：TheAIbondsvalueifinterestratesshiftdownby30bps(PV-)is100.78:TheAIbondsvalueifinterestratesshiftupby30bps(PV+)is99.487:

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较高的市场利率增加了未来现金流入的折现率。折现率越高，未来现金流的现值就越低。因此，在计算有效久期时，较高的折现率将给较远期的现金流更大的权重。

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利率

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duration是描述利率变动对P变化幅度，利率的变动会对CallOptionBond（认购期权债券）和PutOptionBond（认沽期权债券）产生如下影响：对于CallOptionBond（认购期权债券）：当利率上升时，债券的市场利率低于债券的票面利率，这将使认购期权变得更有

[单选题]3.BasedonExhibit1,fortheBIbond,one-sided:

A.up-durationwillbegreaterthatone-sideddown