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【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
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举一反三
【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.
【单选题】Immunization is not a strictly passive strategy because________
A.
it requires choosing an asset portfolio that matches an index.
B.
there is likely to be a gap between the values of assets and liabilities in most portfolios.
C.
it requires frequent rebalancing as maturities and interest rates change.
D.
durations of assets and liabilities fall at the same rate.
E.
None of the options are correct.
【单选题】Which of the following two bonds is more price sensitive to changes in interest rates?1) A par value bond, X, with a 5-year year to maturity and a 10% coupon rate.2) A zero-coupon bond, Y, with a 5-ye...
A.
Bond X because of the higher yield to maturity.
B.
Bond X because of the longer time to maturity.
C.
Bond Y because of the longer duration.
D.
Both have the same sensitivity because both have the same yield to maturity.
E.
None of the options are correct.
【单选题】A futures contract ________
A.
is an agreement to buy or sell a specified amount of an asset at the spot price on the expiration date of the contract.
B.
is an agreement to buy or sell a specified amount of an asset at a predetermined price on the expiration date of the contract.
C.
gives the buyer the right, but not the obligation, to buy an asset sometime in the future.
D.
is a contract to be signed in the future by the buyer and the seller of the commodity.
E.
None of the options are correct.
【单选题】The terms of futures contracts, such as the quality and quantity of the commodity and the delivery date, are ________
A.
specified by the buyers and sellers.
B.
specified only by the buyers.
C.
specified by the futures exchanges.
D.
specified by brokers and dealers.
E.
None of the options are correct.
【单选题】The duration of a perpetuity with a yield of 8% is________
A.
13.50 years.
B.
12.11 years.
C.
6.66 years.
D.
Cannot be determined
【单选题】The buyer of a futures contract is said to have a __________ position, and the seller of a futures contract is said to have a __________ position in futures.
A.
long; short
B.
long; long
C.
short; short
D.
short; long
E.
margined; long
相关题目：
【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.
【单选题】Immunization is not a strictly passive strategy because________
A.
it requires choosing an asset portfolio that matches an index.
B.
there is likely to be a gap between the values of assets and liabilities in most portfolios.
C.
it requires frequent rebalancing as maturities and interest rates change.
D.
durations of assets and liabilities fall at the same rate.
E.
None of the options are correct.
【单选题】Which of the following two bonds is more price sensitive to changes in interest rates?1) A par value bond, X, with a 5-year year to maturity and a 10% coupon rate.2) A zero-coupon bond, Y, with a 5-ye...
A.
Bond X because of the higher yield to maturity.
B.
Bond X because of the longer time to maturity.
C.
Bond Y because of the longer duration.
D.
Both have the same sensitivity because both have the same yield to maturity.
E.
None of the options are correct.
【单选题】A futures contract ________
A.
is an agreement to buy or sell a specified amount of an asset at the spot price on the expiration date of the contract.
B.
is an agreement to buy or sell a specified amount of an asset at a predetermined price on the expiration date of the contract.
C.
gives the buyer the right, but not the obligation, to buy an asset sometime in the future.
D.
is a contract to be signed in the future by the buyer and the seller of the commodity.
E.
None of the options are correct.
【单选题】The terms of futures contracts, such as the quality and quantity of the commodity and the delivery date, are ________
A.
specified by the buyers and sellers.
B.
specified only by the buyers.
C.
specified by the futures exchanges.
D.
specified by brokers and dealers.
E.
None of the options are correct.
【单选题】The duration of a perpetuity with a yield of 8% is________
A.
13.50 years.
B.
12.11 years.
C.
6.66 years.
D.
Cannot be determined
【单选题】The buyer of a futures contract is said to have a __________ position, and the seller of a futures contract is said to have a __________ position in futures.
A.
long; short
B.
long; long
C.
short; short
D.
short; long
E.
margined; long
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