CFA考試一級(jí)章節(jié)練習(xí)題精選0331-19(附詳解)

1、單選題】CFA考試一級(jí)章節(jié)練習(xí)題精選 0331-19 (附詳解)1、 An analyst does research about duration.Which of the following measure is thelowest for a currently callable bond?A. Macaulay duration.B. Effective duration.C. Modified duration.正確答案 :B答案解析 :可贖回債券( callable bond )和可回售債券( putable bond )比不含權(quán)債券對(duì)于利率的敏感性更低，因此，用有效久期來(lái)衡量可贖

2、回債券比用 麥考林久期和修正久期來(lái)衡量的數(shù)值更小。有內(nèi)嵌式權(quán)利的債券，都要用有效久期衡量。1、 A 10-year bond is issued on January 1, 2010. Its contract requires that its coupon rate change over time as shown in the following table:6Coiipon Payment Date RangeCoupon Rate01/01/2010-12/31/20112.0%01/01/2012-12/31/20135.0%01/01/2014-12/31/20157.5%01

3、/01/2016-12/31/20199.0%This security is best described as an exa mple of a:【單選題】A. ste p-up note.B. floating-rate bond.C. deferred coupon bond.正確答案:A” Frank J. Fabozzi, CFA答案解析：“ Features of Debt Securities, 2011 Modular Level I, Vol. 5, p. 326Study Session 15-61-bDescribe the basic features of a bo

4、nd, the various coupon rate structures, and the structure of floating-rate securities.A is correct because a ste p-up note has contractually mandated changes in its coupon rate.1、 One advantage of the full valuation approach to measuring interest rate risk relative to theduration/convexity app roach

5、 is that the full valuation app roach:【單選題】A. increases measurement accuracy.B. is easier to model than scenario analysis.C. requires the yield curve to change in a parallel fashion.正確答案 :A” , Frank J. Fabozzi, CFA答案解析 : “ Introduction to the Measurement of Interest Rate Risk 2013 Modular Level I, V

6、ol. 5, Reading 58, Section 2Study Session 16-58-aDistinguish between the full valuation approach (the scenario analysis approach) and theduration/convexity approach for measuring interest rate risk, and explain the advantage of usingthe full valuation approach.A is correct because the full valuation

7、 approach allows modeling of the response to both paralleland non-parallel yield curve changes and will reflect cash flows that change when interest rateschange, whereas the duration/convexity approach assumes parallel yield curve changes andfixed cash flows.1、 The bonds of Whakatane and Co. are pri

8、ced for settlement on 15 July 2014 and have the following features.Par value$100.00Annual coupon rate'8%Coupon payment frequencySemia nnualCoupon payment dates15 May and 15 NovemberMaturity date15 November 2017Day count conventionActual/ActualAnnua yield to maturity5.5%【單選題】On the basis of this

9、information, the difference between the full and flat p rices is closest to:A. 1.333.B. 2.667.C. 0.917.正確答案: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, thenumber of days between the coupon pe

10、riods is 183 days. Also, using the Actual/Actual day count convention, the number of days between 15 May 2014 and15 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) = 1.333.2014 CFA Level I"Introduction

11、 to Fixed-Income Valuation," by James F. Adams and Donald J. SmithSection 3.11、 Which of the following is least likely a tool used by the U.S. Federal Reserve Bank to directly influence the level of interest rates?單選題】A.Verbal persuasionB.Open market operationsC.Setting the rate on 30-year bonds正確答案 :C答案解析 : “ Understanding Yield Spreads,” Frank J. Fabozzi2012 Modular Level I, Vol. 5, pp. 448449Study Session 15-56-aIdentify the interest rate policy tools available to a central bank.C is correct because the U.S. Federal Reserve