注册金融分析师-注册金融分析师一级分类模拟11

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1、注册金融分析师一级分类模拟112、单项选择题=5%-A1.5-year,3%Treasurynoteistradingat$943.4•ThearbitragetradeA.$83.9B.$89.2C.$105.6A3-year,15%annual-paybondhasaparvalueof$100.Whatwouldthisbondbetradingforifitwerebeingpricedtoyield23%asanannualrate?Treasuryspotratesareasfollows:6months=3%,1year=4%,1.5yearsandarb

2、itrageprofitare:A.buythebond,sellB•buythebond,sellC.sellthebond,buythepieces,thepieces,thepieces,earn$28.3perearn$31•2perearn$28•3perbond.bond.bond.某3年期公司债券的息票利息每年支付一次，息票率为7.4%,交易价格为1109.3美元，票面价值为1000美元。该债券在2年后的赎回价格和退还价格分别为1052.3美元和1020.0美元。试根据上述信息解答问题。3、WhatA.6.is7%thebond1scurrentyield

3、?B・7.2%C・8.4%4、Whatisthebond1syieldtomaturity?A.2・6%B・3.5%C.4.3%5、Whatisthebond1syieldtocall?A.3・8%B・4.2%C・4.6%6、Whatisthebond'syieldtoput?A.2.7%B.3.3%C・5.4%7^Abondhasallannualcouponwhichispricedtoyield4.15%•Whatisthisissue1sbondequivalentyield?A.2.57%B.3.93%C.4.11%8^Ananalystgatheredthe

4、followinginformation:periodyearsannualparyieldtomaturity(%)theoreticalspotrate(%)six-monthforwardrates(%)0.53.003.003.001.03.303.303.611.53.503.513.912.03・903・925.15Thevalueofasingle,default-freecashflowof$50000attheendofperiod4isclosestto:A.$46265・B.$46299.C.$46316・9、Thezero-volatilitys

5、pread(Z-spread)isameasureofthespreadof:A.allpointsontheTreasuryspotcurve.B.allpointsontheTreasuryyieldcurve.C•onepointontheTreasuryyieldcurve•10>AssumingtheTreasuryspot-rateyieldcurveisupwardsloping•ComparedtothenominalyieldspreadbetweenaTreasurybondandanoption-fleecorporatebondofsimilar

6、maturity,theZ-spreadwillbe:A•equaltothenominalspread•B•lessthanthenominalspread.C.greaterthanthenominalspread.11>Aninvestorpurchaseabondthatisputableattheoptionoftheholder.Theoptionhasvalue-HehascalculatedtheZ-spreadas185basispoint•Theoption-adjustedspreadwillbe:A.equalto185basispoints.B

7、.lessthan185basispoints.C.greaterthan185basispoints.12^Theoptionadjustedspread(OAS)isbestdescribedasthe:A.Z-spreadminustheoptioncost.B.Z-spreadplusthecostoftheoption.C.valueofthesecurity1sembeddedoption.13>The3—yearspotrateis8•7%,andthe2-yearspotrateis9.2%.Whatisthe1-year