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【单选题】
Ceteris paribus, the duration of a bond is positively correlated with the bond's________
A.
time to maturity.
B.
coupon rate.
C.
yield to maturity.
D.
All of the options are correct.
E.
None of the options are correct.
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【单选题】Suppose that all investors expect that interest rates for the 4 years will be as follows:$r(0,1)=3$%, $f(1,2)=4$%, $f(2,3)=5$%, $f(3,4)=6$%.What is the price of 3-year zero-coupon bond with a par valu...
A.
$889.08
B.
$816.58
C.
$772.18
D.
$765.55
E.
None of the options are correct.
【单选题】What is the yield to maturity on a 3-year zero-coupon bond? The following is a list of prices for zero-coupon bonds with different maturities and par values of $1,000.Maturity (Years)Price1$925.152862...
A.
6.37%
B.
9.00%
C.
7.33%
D.
8.24%
【单选题】Holding other factors constant, the interest-rate risk of a coupon bond is higher when the bond's________
A.
term to maturity is lower.
B.
coupon rate is higher.
C.
yield to maturity is lower.
D.
current yield is higher.
E.
None of the options are correct.
【单选题】Holding other factors constant, the interest-rate risk of a coupon bond is higher when the bond's________
A.
term to maturity is higher.
B.
coupon rate is higher.
C.
yield to maturity is higher.
D.
All of the options are correct.
E.
None of the options are correct.
【单选题】The "modified duration" used by practitioners is equal to the Macaulay duration________
A.
times the change in interest rate.
B.
times (one plus the bond's yield to maturity).
C.
divided by (one minus the bond's yield to maturity).
D.
divided by (one plus the bond's yield to maturity).
E.
None of the options are correct.
【单选题】Holding other factors constant, which one of the following bonds has the smallest price volatility?
A.
5-year, 0% coupon bond
B.
5-year, 12% coupon bond
C.
5 year, 14% coupon bond
D.
5-year, 10% coupon bond
E.
Cannot tell from the information given
【单选题】Which of the following statements are true?I) Holding other things constant, the duration of a bond decreases with time to maturity.II) Given time to maturity, the duration of a zero-coupon increases ...
A.
I only
B.
I and II
C.
III only
D.
III and IV
E.
I, II, and IV
【单选题】The duration of a coupon bond________
A.
does not change after the bond is issued.
B.
can accurately predict the price change of the bond for any interest-rate change.
C.
will decrease as the yield to maturity decreases.
D.
All of the options are true.
E.
None of the options are true.
【单选题】Identify the bond that has the longest duration (no calculations necessary).
A.
20-year maturity with an 8% coupon
B.
20-year maturity with a 12% coupon
C.
20-year maturity with a 0% coupon
D.
10-year maturity with a 15% coupon
E.
12-year maturity with a 12% coupon
【单选题】Immunization through duration matching of assets and liabilities may be ineffective or inappropriate because________
A.
conventional duration strategies assume a flat yield curve.
B.
duration matching can only immunize portfolios from parallel shifts in the yield curve.
C.
immunization only protects the nominal value of terminal liabilities and does not allow for inflation adjustment.
D.
conventional duration strategies assume a flat yield curve, and immunization only protects the nominal value. of terminal liabilities and does not allow for inflation adjustment.
E.
All of the options are correct.
相关题目：
【单选题】Suppose that all investors expect that interest rates for the 4 years will be as follows:$r(0,1)=3$%, $f(1,2)=4$%, $f(2,3)=5$%, $f(3,4)=6$%.What is the price of 3-year zero-coupon bond with a par valu...
A.
$889.08
B.
$816.58
C.
$772.18
D.
$765.55
E.
None of the options are correct.
【单选题】What is the yield to maturity on a 3-year zero-coupon bond? The following is a list of prices for zero-coupon bonds with different maturities and par values of $1,000.Maturity (Years)Price1$925.152862...
A.
6.37%
B.
9.00%
C.
7.33%
D.
8.24%
【单选题】Holding other factors constant, the interest-rate risk of a coupon bond is higher when the bond's________
A.
term to maturity is lower.
B.
coupon rate is higher.
C.
yield to maturity is lower.
D.
current yield is higher.
E.
None of the options are correct.
【单选题】Holding other factors constant, the interest-rate risk of a coupon bond is higher when the bond's________
A.
term to maturity is higher.
B.
coupon rate is higher.
C.
yield to maturity is higher.
D.
All of the options are correct.
E.
None of the options are correct.
【单选题】The "modified duration" used by practitioners is equal to the Macaulay duration________
A.
times the change in interest rate.
B.
times (one plus the bond's yield to maturity).
C.
divided by (one minus the bond's yield to maturity).
D.
divided by (one plus the bond's yield to maturity).
E.
None of the options are correct.
【单选题】Holding other factors constant, which one of the following bonds has the smallest price volatility?
A.
5-year, 0% coupon bond
B.
5-year, 12% coupon bond
C.
5 year, 14% coupon bond
D.
5-year, 10% coupon bond
E.
Cannot tell from the information given
【单选题】Which of the following statements are true?I) Holding other things constant, the duration of a bond decreases with time to maturity.II) Given time to maturity, the duration of a zero-coupon increases ...
A.
I only
B.
I and II
C.
III only
D.
III and IV
E.
I, II, and IV
【单选题】The duration of a coupon bond________
A.
does not change after the bond is issued.
B.
can accurately predict the price change of the bond for any interest-rate change.
C.
will decrease as the yield to maturity decreases.
D.
All of the options are true.
E.
None of the options are true.
【单选题】Identify the bond that has the longest duration (no calculations necessary).
A.
20-year maturity with an 8% coupon
B.
20-year maturity with a 12% coupon
C.
20-year maturity with a 0% coupon
D.
10-year maturity with a 15% coupon
E.
12-year maturity with a 12% coupon
【单选题】Immunization through duration matching of assets and liabilities may be ineffective or inappropriate because________
A.
conventional duration strategies assume a flat yield curve.
B.
duration matching can only immunize portfolios from parallel shifts in the yield curve.
C.
immunization only protects the nominal value of terminal liabilities and does not allow for inflation adjustment.
D.
conventional duration strategies assume a flat yield curve, and immunization only protects the nominal value. of terminal liabilities and does not allow for inflation adjustment.
E.
All of the options are correct.
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