cfa一级assetvaluation∶debtinvestments∶analysisandvaluation(编辑修改稿)

cfa一级assetvaluation∶debtinvestments∶analysisandvaluation(编辑修改稿)内容摘要：

PV=? PV= Question ID: 13046 What is the accrued interest for a 5 percent coupon bond that that pays coupons semiannually assuming that there are 84 days remaining until the next coupon payment and that 182 days in the coupon period? A. $. B. $. C. $. D. $. B The amount is calculated as follows:Accrued Interest = (182 – 84)/182 x $5/2 = $. The value $ is incorrect because 84 days instead of 182 minus 84 days is used in the formula. The value $ is incorrect because this would result for a semiannual coupon of 5% which is, however, the annual coupon rate. Question ID: 13050 A coupon bond is reported as having an ask price of 113 percent of the $1,000 par value. If the last interest payment was made two months ago and the coupon rate is 12 percent, the invoice price of the bond will be: A. $1,200. B. $1,150. C. $1,400. 15 D. $1,300. B ()(1000)+2(120/12)=1,130+20=1,150 Question ID: 22350 An investor gathers the following information about a 2year bond: Par value of $10,000 Semiannual coupon rate of 6% 180 days in the coupon period 86 days between the settlement and the next coupon payment date The dirty price of the bond is closest to: A. $10,156. B. $10,000. C. $4,778. D. $9,844. A The first step is to find the appropriate fractional payment period (w), w=86/180=. The easiest way to pute the dirty price on your financial calculator is to add up the present values of each of the four cash flows: N=, I/Y=3, FV=300, PMT=0: Compute PV=. N=, I/Y=3, FV=300, PMT=0: Compute PV=. N=, I/Y=3, FV=300, PMT=0: Compute PV=. N=, I/Y=3, FV=10,300, PMT=0: Compute PV=9,. The present sum of the cash flows is $10,. 16 Question ID: 22351 The use of a single discount rate to value all of a bond39。 s cash flows assumes: A. a flat term structure. B. an upward sloping term structure. C. a downward sloping term structure. D. an unknown yield curve. A The use of a single discount factor (., YTM) to value all of a bond’s cash flows assumes a flat term structure. This means that the interest rate is the same across all maturities, a very rare occurrence in reality. Question ID: 13051 An amortizing security has two years remaining to maturity with a par value of $100,000 , a coupon rate of 6 percent, its expected cash flow per year is $26, and there are no prepayments. Using the following term structure of interest rates, what is the price of this security? Oneyear rate: % Twoyear rate: % A. $49,. B. $49,. C. $48,. D. $48,. D The present value is puted as follows:Present Value = $26,+ $26,$48, 17 The value $48, is incorrect because the twoyear interest rate is used to discount both cash flows. The value $49, is incorrect because the coupon rate is used in order to discount the cash flows. Question ID: 22352 Assume the term structure of interest rates is upward sloping. In this situation, will the use of a single discount rate in a bond valuation model, most likely lead to a mispricing? A. Yes, the single factor rate will merely be a weighted average of a set of spot rates. B. Yes, however, more mispricing will occur if a series of spot rates that reflect the current term structure are used in the valuation. C. No, the bond model will be properly priced. D. It depends on whether the slope of the term structure is steep or gradually rising. A The use of a single discount factor (., YTM) to value all of a bond’s cash flows assumes a flat term structure. Unless the term structure is actually flat, the use of single discount rate will result in a mispricing of the bond. Question ID: 22353 Which of the following approaches in determining the discount factor will lead to more accurate bond pricing when the term structure is upward sloping? The: A. arithmetic average of the spot interest rates. B. use of a single discount factor. C. geometric average of the spot interest rates. D. use of a series of spot interest rates that reflect the current term structure. D 18 The use of multiple discount rates (., a series of spot rates that reflect the current term structure) will result in more accurate bond pricing and in so doing, will eliminate any meaningful arbitrage opportunities. That is why the use of a series of spot rates to discount bond cash flows is considered to be an arbitragefree valuation procedure. Question ID: 22354 The arbitragefree bond valuation approach can best be described as the: A. geometric average of the spot interest rates. B. use of a single discount factor. C. arithmetic average of the spot interest rates. D. use of a series of spot interest rates that reflect the current term structure. D The use of multiple discount rates (., a series of spot rates that reflect the current term structure) will result in more accurate bond pricing and in so doing, will eliminate any meaningful arbitrage opportunities. That is why the use of a series of spot rates to discount bond cash flows is considered to be an arbitragefree valuation procedure. Question ID: 13052 Which of the following packages of securities is equivalent to a threeyear 8 percent coupon bond with semiannual coupon payments? A threeyear zerocoupon bond: A. and six 8 % coupon bonds with a maturity equal to the time to each coupon payment of the above bond. B. with a par of 100 and six zerocoupon bonds with a par value of 8 and maturities equal to the time to each coupon payment of the coupon bond. C. with a par of 100 and six zercoupon bonds with a par value of 4 and maturities equal to the time to each coupon payment of the coupon bond. D. with a par of 100 and six zerocoupon bonds with a par value of 4 and maturities equal to the time to each。