2019年CFA考试《CFA一级》考试共240题，分为单选题。小编为您整理Fixed Income Investments5道练习题，附答案解析，供您备考练习。

1、The bonds of Whakatane and Co. are priced for settlement on 15 July 2014 and have the following features.On the basis of this information, the difference between the full and flat prices is closest to:【单选题】

A.1.333.

B.2.667.

C.0.917.

正确答案:A

答案解析:The difference between the full and flat prices is the accrued interest, which is computed as follows. Based on the Actual/Actual day convention, the number of days between the coupon periods is 183 days. Also, using the Actual/Actual day count convention, the number of days between 15 May 2014 and 15 July 2014 is 16 days remaining in May + 30 days in June + 15 days in July = 61 days. Accrued interest (per $100 par value) = (61/183)(8.00/2) = 1.333.Section 3.1

2、A fixed income portfolio manager owns a $5 million par value non-callable bond. The bond’s duration is 5.6 and the current market value is $5,125,000. The dollar duration of the bond is closest to:【单选题】

A.$280,000.

B.$287,000.

C.$700,000.

正确答案:B

答案解析:“Risks Associated with Investing in Bonds,” Frank J. FabozziA bond’s dollar duration is the expected price change given a 100 basis point change in yield. In this case, dollar duration = 5.6 × 0.01 × $5,125,000 = $287,000.

3、A portfolio consists of four bonds with the following characteristics:The duration of the portfolio is closest to:【单选题】

A.5.40.

B.6.18.

C.7.48.

正确答案:C

答案解析:“Introduction to the Measurement of Interest Rate Risk,” Frank J. Fabozzi, CFAC is correct because the duration of a portfolio is the weighted average of the bonds’ durations where the weight for each bond is its contribution to the portfolio’s value or In this case, value of the portfolio is 1.2+3.4+2.9+1.6 = 9.1 million and the portfolio duration equals (1.2/9.1 × 3.2) + (3.4/9.1 × 7.6) + (2.9/9.1 × 12.4) + (1.6/9.1 × 1.5) = 0.4220 + 2.8396 + 3.9516 + 0.2637 = 7.48.

4、All else equal, the difference between the nominal spread and the Z-spread for a non-Treasurysecurity will most likely be larger when the:【单选题】

A.yield curve is flat.

B.yield curve is steep.

C.security has a bullet maturity rather than an amortizing structure.

正确答案:B

答案解析:“Yield Measures, Spot Rates, and Forward Rates”, Frank J. Fabozzi, CFAB is correct because the main factor causing any difference between the nominal spread and theZ-spread is the shape of the Treasury spot rate curve. The steeper the spot rate curve, thegreater the difference.

5、The following table provides information about a portfolio of three bonds.Based on this information, the duration of the portfolio is closest to:【单选题】

A.9.74.

B.9.48.

C.9.35.

正确答案:C

答案解析:The market values of the bonds (Price × Par amount) are $17,479,376, $4,018,928, and $6,771,416,respectively, for a portfolio value of $28,269,720. Therefore, the duration of the portfolio isSection 3.4