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2020年CFA考试《CFA二级》考试共题,分为。小编为您整理Fixed Income (1)5道练习题,附答案解析,供您备考练习。
1、In a typical interest rate swap contract, the swap rate is best described as the interest rate for the:【单选题】
A.fixed-rate leg of the swap.
B.floating-rate leg of the swap.
C.difference between the fixed and floating legs of the swap.
正确答案:A
答案解析:A is correct. The swap rate is the interest rate for the fixed-rate leg of an interest rate swap.
2、The one-year spot rate r(1) = 5% and the forward price for a one-year zero-coupon bond beginning in one year is 0.9346. The spot price of a two-year zero-coupon bond is closest to:【单选题】
A.0.87.
B.0.89.
C.0.93.
正确答案:B
答案解析:B is correct. We can convert spot rates to spot prices and use the forward pricing model, so have P(1) = = 0.9524. The forward pricing model is P(T* + T) = P(T*)F(T*,T) so P(2) = P(1)F(1,1) = 0.9524 × 0.9346 = 0.8901.
3、Which forward rate cannot be computed from the one-, two-, three-, and four-year spot rates? The rate for a:【单选题】
A.one-year loan beginning in two years.
B.two-year loan beginning in two years.
C.three-year loan beginning in two years.
正确答案:C
答案解析:C is correct. There is no spot rate information to provide rates for a loan that terminates in five years. That is f(2,3) is
4、The present value of expected loss on $1,000 face-value Pistar bonds is closest to:【单选题】
A.$6.96.
B.$18.27.
C.$43.44.
正确答案:A
答案解析:
5、Based on Exhibit 1, which of the following forward rates can be computed?【单选题】
A.A one-year loan beginning in five years
B.A three-year loan beginning in three years
C.A four-year loan beginning in one year
正确答案:C
答案解析:C is correct. Exhibit 1 provides five years of par rates, from which the spot rates for r(1), r(2), r(3), r(4), and r(5) can be derived. Thus the forward rate f(1,4) can be calculated as follows:
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