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2020年CFA考试《CFA二级》章节练习题精选
帮考网校2020-03-08 11:30
2020年CFA考试《CFA二级》章节练习题精选

2020年CFA考试《CFA二级》考试共题,分为。小编为您整理Fixed Income (2)5道练习题,附答案解析,供您备考练习。


1、The value of the 2-year 6% callable bond today using the interest rate trees closest to:【单选题】

A.$95.24.

B.$101.01.

C.$102.21.

正确答案:B

答案解析:

2、A fall in interest rates would most likely result in:【单选题】

A.a decrease in the effective duration of Bond #3.

B.Bond #3 having more upside potential than Bond #2.

C.a change in the effective convexity of Bond #3 from positive to negative.

正确答案:B

答案解析:B is correct. A fall in interest rates results in a rise in bond values. For a callable bond such as Bond #2, the upside potential is capped because the issuer is more likely to call the bond. In contrast, the upside potential for a putable bond such as Bond #3 is uncapped. Thus, a fall in interest rates would result in a putable bond having more upside potential than an otherwise identical callable bond. 

3、The value of Bond #2 is closest to:【单选题】

A.102.103% of par.

B.103.121% of par.

C.103.744% of par.

正确答案:A

答案解析:A is correct:

4、Which of the bonds that Hamilton analyzes in Exhibit 1 is most likely to exhibit effective negative convexity?【单选题】

A.StorageTech

B.CommCo

C.NexTec

正确答案:B

答案解析:

5、If GD were to enter into an offsetting contract to hedge its exposure to TRTRS under the CDS described in Exhibit 1, this would most likely result in:【单选题】

A.a loss on the CDS position.

B.a gain on the CDS position.

C.no gain or loss on the CDS position.

正确答案:B

答案解析:As the credit spread for TRTRS has widened and GD has purchased protection, GD will gain by selling protection at a higher premium.

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