投资学TBChap015Word格式文档下载.docx
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投资学TBChap015Word格式文档下载.docx
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2.
TreasurySTRIPSare
securitiesissuedbytheTreasurywithverylongmaturities.
extremelyriskysecurities.
createdbysellingeachcouponorprincipalpaymentfromawholeTreasurybondasaseparatecashflow.
createdbypoolingmortgagepaymentsmadetotheTreasury.
3.
ThevalueofaTreasurybondshould
beequaltothesumofthevalueofSTRIPScreatedfromit.
belessthanthesumofthevalueofSTRIPScreatedfromit.
begreaterthanthesumofthevalueofSTRIPScreatedfromit.
Alloftheoptions.
4.
IfthevalueofaTreasurybondwashigherthanthevalueofthesumofitsparts(STRIPPEDcashflows)youcould
profitbybuyingthestrippedcashflowsandreconstitutingthebond.
notprofitbybuyingthestrippedcashflowsandreconstitutingthebond.
profitbybuyingthebondandcreatingSTRIPS.
notprofitbybuyingthestrippedcashflowsandreconstitutingthebondandprofitbybuyingthebondandcreatingSTRIPS.
5.
IfthevalueofaTreasurybondwaslowerthanthevalueofthesumofitsparts(STRIPPEDcashflows)youcould
6.
IfthevalueofaTreasurybondwaslowerthanthevalueofthesumofitsparts(STRIPPEDcashflows)
arbitragewouldprobablyoccur.
arbitragewouldprobablynotoccur.
theFEDwouldadjustinterestrates.
7.
IfthevalueofaTreasurybondwashigherthanthevalueofthesumofitsparts(STRIPPEDcashflows)
8.
Bondstrippingandbondreconstitutionofferopportunitiesfor______,whichcanoccurifthe_________isviolated.
arbitrage;
lawofoneprice
restrictivecovenants
hugelosses;
9.
______canoccurif_____.
thelawofonepriceisnotviolated
thelawofonepriceisviolated
risklesseconomicprofit;
arbitrageandrisklesseconomicprofit;
10.
Theyieldcurveshowsatanypointintim
therelationshipbetweentheyieldonabondandthedurationofthebond.
therelationshipbetweenthecouponrateonabondandtimetomaturityofthebond.
therelationshipbetweenyieldonabondandthetimetomaturityonthebond.
11.
Aninvertedyieldcurveimpliesthat
long-terminterestratesarelowerthanshort-terminterestrates.
long-terminterestratesarehigherthanshort-terminterestrates.
long-terminterestratesarethesameasshort-terminterestrates.
intermediateterminterestratesarehigherthaneithershort-orlong-terminterestrates.
12.
Anupwardslopingyieldcurveisa(n)_______yieldcurve.
normal
humped
inverted
flat
13.
Accordingtotheexpectationshypothesis,anupwardslopingyieldcurveimpliesthat
interestratesareexpectedtoremainstableinthefuture.
interestratesareexpectedtodeclineinthefuture.
interestratesareexpectedtoincreaseinthefuture.
interestratesareexpectedtodeclinefirst,thenincrease.
interestratesareexpectedtoincreasefirst,thendecrease.
14.
Whichofthefollowingisnotproposedasanexplanationforthetermstructureofinterestrates?
Theexpectationstheory
Theliquiditypreferencetheory
Thesafetyofprincipaltheory
Modernportfoliotheory
Theexpectationstheoryandtheliquiditypreferencetheory
15.
Theexpectationstheoryofthetermstructureofinterestratesstatesthat
forwardratesaredeterminedbyinvestors'
expectationsoffutureinterestrates.
forwardratesexceedtheexpectedfutureinterestrates.
yieldsonlong-andshort-maturitybondsaredeterminedbythesupplyanddemandforthesecurities.
16.
Supposethatallinvestorsexpectthatinterestratesforthe4yearswillbeasfollows:
Whatisthepriceof3-yearzero-couponbondwithaparvalueof$1,000?
$863.83
$816.58
$772.18
$765.55
17.
Ifyouhavejustpurchaseda4-yearzero-couponbond,whatwouldbetheexpectedrateofreturnonyourinvestmentinthefirstyeariftheimpliedforwardratesstaythesame?
(Parvalueofthebond=$1,000)
5%
7%
9%
10%
18.
Whatisthepriceofa2-yearmaturitybondwitha10%couponratepaidannually?
(Parvalue=$1,000)
$1,092
$1,054
$1,000
$1,073
19.
Whatistheyieldtomaturityofa3-yearzero-couponbond?
7.03%
9.00%
6.99%
7.49%
20.
Thefollowingisalistofpricesforzero-couponbondswithdifferentmaturitiesandparvalueof$1,000.
Whatis,accordingtotheexpectationstheory,theexpectedforwardrateinthethirdyear?
7.00%
7.33%
11.19%
21.
Whatistheyieldtomaturityona3-yearzero-couponbond?
6.37%
10.00%
22.
Whatisthepriceofa4-yearmaturitybondwitha12%couponratepaidannually?
(Parvalue=$1,000.)
$742.09
$1,222.09
$1,000.00
$1,141.92
23.
Anupwardslopingyieldcurve
maybeanindicationthatinterestratesareexpectedtoincrease.
mayincorporatealiquiditypremium.
mayreflecttheconfoundingoftheliquiditypremiumwithinterestrateexpectations.
24.
The"
break-even"
interestrateforyearnthatequatesthereturnonann-periodzero-couponbondtothatofann-1-periodzero-couponbondrolledoverintoaone-yearbondinyearnisdefinedas
theforwardrate.
theshortrate.
theyieldtomaturity.
thediscountrate.
25.
Whencomputingyieldtomaturity,theimplicitreinvestmentassumptionisthattheinterestpaymentsarereinvestedatthe
couponrate.
currentyield.
yieldtomaturityatthetimeoftheinvestment.
prevailingyieldtomaturityatthetimeinterestpaymentsarereceived.
theaverageyieldtomaturitythroughouttheinvestmentperiod.
26.
Giventhebonddescribedabove,ifinterestwerepaidsemi-annually(ratherthanannually),andthebondcontinuedtobepricedat$850,theresultingeffectiveannualyieldtomaturitywouldbe
lessthan12%.
morethan12%.
12%.
Cannotbedetermined
27.
Forwardrates____________futureshortratesbecause____________.
areequalto;
theyarebothextractedfromyieldstomaturity
theyareperfectforecasts
differfrom;
theyareimperfectforecasts
forwardratesareestimatedfromdealerquoteswhilefutureshortratesareextractedfromyieldstomaturity
althoughtheyareestimatedfromdifferentsourcestheybothareusedbytraderstomakepurchasedecisions
28.
The
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