CFA考试一级章节练习题精选0401-4(附详解)
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CFA考试一级章节练习题精选0401-4（附详解）
1、The option-free bonds of Argus Corporation have a duration of eight years. When interest rates rise by 100 bps, the bond's price declines by 7.9%. When interest rates fall by 100 bps, however, the price rises by 8.2%. The asymmetrical price change is most likely caused by the:【单选题】
A.maturity effect.
B.coupon effect.
C.convexity effect.
正确答案:C
答案解析:It is bond convexity that explains the asymmetrical price change. A fall in interest rates will result in a higher percentage rise in the bond's price compared with the percentage fall in the bond's price when interest rates rise by the same amount.Section 2.3
2、Which of the following is closest to the value of a 10-year, 6% coupon, $100 par value bond with semi-annual payments assuming an annual discount rate of 7%?【单选题】
A.$92.89
B.$99.07
C.$107.44
正确答案:A
答案解析:“Introduction to the Valuation of Debt Securities,” Frank J. Fabozzi
3、If three bonds are otherwise identical, the one exhibiting the highest level of positive convexity is most likely the one that is:【单选题】
A.putable.
B.callable.
C.option-free.
正确答案:A
答案解析:“Introduction to the Measurement of Interest Rate Risk,” Frank J. FabozziA is correct because when interest rates rise, a putable bond is more likely to be put back to the issuer by the investor, limiting the loss of value and giving the bond more positive convexity than an option-free bond. In contrast, a callable bond is likely to be called from the investor when interest rates fall, limiting the gain in value and giving the bond negative convexity.
4、A portfolio manager holds the following three bonds, which are option free and have the indicateddurations.The portfolio's duration is closest to:【单选题】
A.4.75.
B.5.20.
C.5.33.
正确答案:A
答案解析:The portfolio's duration is a weighted average of the durations of the individual holdings, computedas: (12/24) × (3.0)+(6/24) × (7.0)+(6/24) × (6.0)=4.75.Section 3.4
5、An analyst does research about duration and gathers the following informationabout two option-free bonds in a portfolio:The duration of the portfolio is closest to:【单选题】
A.4.33
B.4.40
C.4.55
正确答案:C
答案解析:5 × $110 000/$200 000 + 4 × $90 000/$200 000 = 4.55