"Fixed Income Investments":Equivalent yield

下載正保會計網校APP 訂閱最新報考消息

來源: 正保會計網校編輯：大耳朵圖圖 2020/09/10 14:20:43　字體：大小

選課中心

多樣班次滿足需求

選課中心

資料專區

干貨資料助力備考

資料專區

報考指南

報考條件一鍵了解

報考指南

學習是一個不斷積累的過程，每天學習一點，每天進步一點！為了幫助大家更高效地備考2021年CFA考試，正保會計網校每日為大家上新CFA習題供大家練習。讓網校與您一起高效備考2021年CFA考試，夢想成真！

Questions 1:

A 90-day commercial paper issue is quoted at a discount rate of 4.75% for a 360-day year. The bond equivalent yield for this instrument is closest to:

A. 4.87%.

B. 4.75%.

C. 4.81%

Questions 2:

In a rising interest rate environment, the effective duration of a putable bond relative to an otherwise identical non-putable bond, will most likely be:

A. higher.

B. lower.

C. the same.

View answer resolution

【Answer to question 1】（A）

【analysis】

The price of the commercial paper per 100 of par value is: where PV and FV are the price and face value of the money market instrument, Days is the number of days between settlement and maturity, Year is number of days in the year, and DR is the discount rate stated as an annual percentage.

微信截圖_20200910141950

【Answer to question 2】（B）

【analysis】

When interest rates are rising, the put option becomes more valuable to the investor. The ability to sell the bond at par value limits the price depreciation as rates rise. So, the presence of an embedded put option reduces the sensitivity of the bond price to changes in interest rates, resulting in a lower effective duration.

成功=時間+方法，自制力是這個等式的保障。世上無天才，高手都是來自刻苦的練習。而人們經常只看到“牛人”閃耀的成績，其成績背后無比寂寞的勤奮。小編相信，每天都在勤奮練習，即使是一點點的進步，大家一定可以成為人人稱贊的“牛人”。