CFA考试一级章节练习题精选0329-43(附详解)

1、CFA考试一级章节练习题精选 0329-43 （附详解）1、 Which of these is the best example of an embedded option granted to bondholders?【单选题】A. A prepayment optionB. A floor on a floating rate securityC. An accelerated sinking fund provision正确答案 :B” Frank J. Fabozzi, CFA答案解析 : “ Features of Debt Securities, 2011 Modular Lev

2、el I, Vol. 5, p. 337Study Session 15-61-eIdentify the common options embedded in a bond issue, explain the importance of embedded options, and state whether such options benefit the issuer or the bondholder.B is correct because the floor benefits the bondholder by keeping the coupon from falling bel

3、ow a certain threshold if market rates decline to very low levels.2、 An analyst does research about reinvestment risk.Which of the following securitiesis most likely to be subject to reinvestment risk during the period of time betweenissuance and maturity? 【单选题】A. Treasury bills.B. Treasury notes.1O

4、n the basis of these spot rates, the p rice of the bond today is closest to:【单选题】C.Treasury coupon stri ps.正确答案:B答案解析:Treasury bills是美国国库券，是短期债券，而且是完全折价债券，到期前没有利息，到期时一次还本，所以没有再投资风险;Treasury couponstrips是美国本息剥离的国债， 投资银行将美国的中长期国债的每一笔利息和本金拆分成不同期限的完全折价债券，所以也没有再投资风险； 而Treasurynotes是美国中期国债，每半年发放一次利息，会有再投资

5、风险。3、 Eldora Ltd. recently issued deferred -coupon bonds for which no coupon payments will be paid in the first two years of the bonds life. Regular annualcoupon p ayments at a rate of 9% will then be made until the bonds mature at the end of six years. The spot rates for variousmaturities are given

6、 in thefollowing table.Time to MaturitySpot Rate1 year8,0%2 years7.5%3 years7.0%4 yea rs6-5%5 years6.0%6 years5.5%5A. 100.12.B. 108.20.C. 116.24.正确答案:A答案解析：The bond price is computed as:Po = 9/(1.070)3 + 9/(1.065) + 9/(1.060) + (9 + 100)/(1.055) = 10042.2014 CFA Level IIntroduction to Fixed -Income

7、Valuation, by James F. Adams and Donald J. SmithSection 2.4-free, fixed -ratebonds with a Macaulay duration of 10.5. The investor4、 A long -term bond investor with an investment horizon of 8 years invests in optionmost likely currently has a: 【单选题】A. po sitive duration gap and is currently exp osed

8、to the risk of lower interest rates.B. negative duration gap and is currently expo sed to the risk of higher interest rates.C. p ositive duration gap and is currently expo sed to the risk of higher interest rates.正确答案:C答案解析 :The duration gap is the bonds Macaulay duration minus the investment horizo

9、n, which is positive inthis case. A positive duration gap implies that the investor is currently exposed to the risk of higherinterest rates.CFA Level I Understanding Fixed -Income Risk and Return, James F. Adams and Donald J. Smith单选题】Section 4.2 5、 Which of the following measures of interest rate risk is most appropriate forbonds with prepayment