【導(dǎo)讀】A..B..C..D..A.parbond.B.termbond.C.premiumbond.D.discountbond.endofthebond’slife.A.Couponpayment.B.Termtomaturity.C.Parvalue.D.Bondrating.A.currentyield.B.couponrate.D.yeartomaturity.bond?A.Estimatethebond'scashflows.A.$700,000.B.$350,000.C.$1,000,000.D.$1,400,000.A.$300.B.$328.C.$600.D.$656.A.$2,500.B.$5,000.

　　

【正文】 ally, models that can handle embedded options (., callable, putable) have the following five characteristics: (1) a fundamental model to derive estimates of treasury spot rates, (2) ability to estimate the volatility of interest rates, (3) development of an interest rate tree of future rates, (4) model probabilities are set such that the model correctly predicts the current treasury bond price, and (5) development of rules for the exercise of the embedded options. Question ID: 13055 How does the valuation of a callable bond differ from the optionfree bond valuation method? To price the callable bond: A. a lower duration has to be used. B. the term structure of interest rates used has to be shifted down by the price of the option as a proportion of the optionfree bond price. C. the term structure of interest rates used has to be shifted up by the price of the option as a proportion of the optionfree bond price. D. different possible future interest rate paths have to be considered. D Different future interest rate paths have to be considered in order to determine how likely it is the bond is going to be called and to determine the bond present value under such a scenario. The duration of a bond is not used to price it. Question ID: 22361 Which of the following features is mon to embedded option bond valuation models? A. Develop an interest rate tree of future interest rates. 24 B. Assume firms will not exercise embedded call options. C. Develop a fundamental model to derive a single discount factor. D. Assume no volatility in future interest rates. A Generally, models that can handle embedded options (., callable, putable) have the following five characteristics: (1) a fundamental model to derive estimates of treasury spot rates, (2) ability to estimate the volatility of interest rates, (3) develop an interest rate tree of future rates, (4) model probabilities are set such that the model correctly predicts the current treasury bond price, and (5) develop rules for the exercise of the embedded options. Question ID: 13027 Suppose the term structure of interest rates makes an instantaneous parallel upward shift of 100 basis points. Which of the following securities experiences the largest change in value? A fiveyear: A. coupon bond with a coupon rate of 6%. B. floating rate bond. C. coupon bond with a coupon rate of 5%. D. zerocoupon bond. D The duration of a zerocoupon bond is equal to its time to maturity since the only cash flows made is the principal payment at maturity of the bond. Therefore, it has the highest interest rate sensitivity among the four securities. A floating rate bond is incorrect because the duration, which is the interest rate sensitivity, is equal to the time until the next coupon is paid. So this bond has a very low interest rate sensitivity. A coupon bond with a coupon rate of 5% is incorrect because the duration of a coupon paying bond is lower than a zerocoupon bond since cash flows are made before maturity of the bond. Therefore, its interest rate sensitivity is lower. 25 Question ID: 13034 A 10 percent, 10year bond is selling at par. If interest rates do not change, how much will the bond be selling for in 2 years? A. more than par. B. cannot be determined. C. par. D. less than par. C Question ID: 13047 The clean price of a bond is $ and the accrued interest is $. What is the dirty price of the bond? A. $. B. $. C. $. D. $. B] The accrued interest has to be added to the clean price of the bond in order to get the dirty price. Question ID: 13025 A bond with a 12 percent coupon, 10 years to maturity and selling at 88 has a YTM of: A. over 14%. B. between 13% and 14%. C. between 10% and 12%. 26 D. between 12% and 13%. A PMT = 120, N = 10, PV = 880, FV = 1000 Compute I = Question ID: 13013 What value would an investor place on a 20year, 10 percent annual coupon bond, if the investor required a 10 percent rate of return? A. $1,000. B. $920. C. $1,052. D. $1,104. A Question ID: 13018 A bond with a face value of $1,000 pays a semiannual coupon of $60. It has 15 years to maturity and a yield to maturity of 16 percent per year. What39。s the value of the bond? A. $. B. $. C. $. D. $. A FV=1000 PMT=60 27 N=30 I=8 PV=? PV= Question ID: 13008 It is easier to value bonds than to value equities because: A. there is no maturity value for mon stock. B. the required rate of return for bonds is more stable. C. All of these choices are correct. D. the future cash flows of bonds are more stable. C Question ID: 13030 The price and yield on a bond have: A. sometimes positive and sometimes negative relation. B. no relation. C. positive relation. D. inverse relation. D Question ID: 13044 A zerocoupon bond has a yield to maturity of percent and a par value of $1,000. If the bond matures in 10 years, today39。s price of the bond would be: 28 A. $. B. $. C. $. D. $. B I= FV=1,000 N=10 PMT=0 PV=? PV= Question ID: 13041 What is the yield to maturity(YTM)of a 20year, . zerocoupon bond selling for $300? A. %. B. %. C. %. D. %. B n=40, PV=300, FV=1000, pute i=*2=. : Yield Measures, Spot Rates, and Forward Rates Question ID: 13057 A 6year annual interst coupon bond was purchased one year ago. The coupon rate is 10 29 percent and par value is $1,000. At the time the bond was bought, the yield to maturity (YTM) was 8 percent. If the bond is sold after receiving the first interest payment and the bond39。s yield to maturity had changed to 7 percent, the annual total rate of return on holding the