投資學(xué)TBChap015

1、Chapter 15The Term Structure of Interest RatesMultiple Choice Questions1. The term structure of interest rates isA. the relationship between the rates of interest on all securities.B. the relationship between the interest rate on a security and its time to maturity.C. the relationship between the yi

2、eld on a bond and its default rate.D. All of the optionsE. None of the options2. Treasury STRIPS areA. securities issued by the Treasury with very long maturities.B. extremely risky securities.C. created by selling each coupon or principal payment from a whole Treasury bond as a separate cash flow.D

3、. created by pooling mortgage payments made to the Treasury.15-13. The value of a Treasury bond shouldA. be equal to the sum of the value of STRIPS created from it.B. be less than the sum of the value of STRIPS created from it.C. be greater than the sum of the value of STRIPS created from it.D. All

4、of the options.4. If the value of a Treasury bond was higher than the value of the sum of its parts (STRIPPED cash flows) you couldA. profit by buying the stripped cash flows and reconstituting the bond.B. not profit by buying the stripped cash flows and reconstituting the bond.C. profit by buying t

5、he bond and creating STRIPS.D. not profit by buying the stripped cash flows and reconstituting the bond and profit by buying the bond and creating STRIPS.E. None of the options5. If the value of a Treasury bond was lower than the value of the sum of its parts (STRIPPED cash flows) you couldA. profit

6、 by buying the stripped cash flows and reconstituting the bond.B. not profit by buying the stripped cash flows and reconstituting the bond.C. profit by buying the bond and creating STRIPS.D. not profit by buying the stripped cash flows and reconstituting the bond and profit by buying the bond and cr

7、eating STRIPS.E. None of the options15-26. If the value of a Treasury bond was lower than the value of the sum of its parts (STRIPPED cash flows)A. arbitrage would probably occur.B. arbitrage would probably not occur.C. the FED would adjust interest rates.D. None of the options7. If the value of a T

8、reasury bond was higher than the value of the sum of its parts (STRIPPED cash flows)A. arbitrage would probably occur.B. arbitrage would probably not occur.C. the FED would adjust interest rates.D. None of the options8. Bond stripping and bond reconstitution offer opportunities for , which can occur

9、 if the is violated.A. arbitrage; law of one priceB. arbitrage; restrictive covenantsC. huge losses; law of one priceD. huge losses; restrictive covenants15-39. can occur if .A. arbitrage; the law of one price is not violatedB. arbitrage; the law of one price is violatedC. riskless economic profit;

10、the law of one price is not violatedD. riskless economic profit; the law of one price is violatedE. arbitrage and riskless economic profit; the law of one price is violated10. The yield curve shows at any point in timA. the relationship between the yield on a bond and the duration of the bond.B. the

11、 relationship between the coupon rate on a bond and time to maturity of the bond.C. the relationship between yield on a bond and the time to maturity on the bond.D. All of the optionsE. None of the options11. An inverted yield curve implies thatA. long-term interest rates are lower than short-term i

12、nterest rates.B. long-term interest rates are higher than short-term interest rates.C. long-term interest rates are the same as short-term interest rates.D. intermediate term interest rates are higher than either short- or long-term interest rates.E. None of the options15-412. An upward sloping yiel

13、d curve is a( n) yield curve.A. normalB. humpedC. invertedD. flatE. None of the options13. According to the expectations hypothesis, an upward sloping yield curve implies thatA. interest rates are expected to remain stable in the future.B. interest rates are expected to decline in the future.C. inte

14、rest rates are expected to increase in the future.D. interest rates are expected to decline first, then increase.E. interest rates are expected to increase first, then decrease.14. Which of the following is not proposed as an explanation for the term structure of interest rates?A. The expectations t

15、heoryB. The liquidity preference theoryC. The safety of principal theoryD. Modern portfolio theoryE. The expectations theory and the liquidity preference theory15-515. The expectations theory of the term structure of interest rates states thatA. forward rates are determined by investors' expecta

16、tions of future interest rates.B. forward rates exceed the expected future interest rates.C. yields on long- and short-maturity bonds are determined by the supply and demand for the securities.D. All of the optionsE. None of the options16. Suppose that all investors expect that interest rates for th

17、e 4 years will be as follows:YearForward Inturgst0I7%29%J10°QWhat is the price of 3-year zero-coupon bond with a par value of $1,000?A. $863.83B. $816.58C. $772.18D. $765.55E. None of the options15-617. Suppose that all investors expect that interest rates for the 4 years will be as follows:If

18、you have just purchased a 4-year zero-coupon bond, what would be the expected rate of return on your investment in the first year if the implied forward rates stay the same? (Par value of the bond = $1,000)A. 5%B. 7%C. 9%D. 10%E. None of the options15-718. Suppose that all investors expect that inte

19、rest rates for the 4 years will be as follows:YearForward Intfrgxt0(todfly)5Qoi7%29%J10°QWhat is the price of a 2-year maturity bond with a 10% coupon rate paid annually? (Par value =$1,000)A. $1,092B. $1,054C. $1,000D. $1,07319.E. None of the optionsSuppose that all investors expect that inter

20、est rates for the 4 years will be as follows:What is the yield to maturity of a 3-year zero-coupon bond?A. 7.03%B. 9.00%C. 6.99%D. 7.49%E. None of the options15-820. The following is a list of prices for zero-coupon bonds with different maturities and par value of $1,000.Maturity fY<?arsPrice1$94

21、3.402$881,68$m.884$742,09What is, according to the expectations theory, the expected forward rate in thethird year?A. 7.00%B. 7.33%C. 9.00%D. 11.19%E. None of the options21. The following is a list of prices for zero-coupon bonds with different maturities and par value of $1,000.Alaturitv Yu 時 3)P 口

22、31$943.402$881,68S8O8.S84$742,09What is the yield to maturity on a 3-year zero-coupon bond?A. 6.37%B. 9.00%C. 7.33%D. 10.00%E. None of the options15-922. The following is a list of prices for zero-coupon bonds with different maturities and par value of $1,000.P門31$943.402$88L684$742.09What is the pr

23、ice of a 4-year maturity bond with a 12% coupon rate paid annually? (Par value = $1,000.)A. $742.09B. $1,222.09C. $1,000.00D. $1,141.92E. None of the options23. An upward sloping yield curveA. may be an indication that interest rates are expected to increase.B. may incorporate a liquidity premium.C.

24、 may reflect the confounding of the liquidity premium with interest rate expectations.D. All of the optionsE. None of the options15-1024. The "break-even" interest rate for yearn that equates the return on an n-period zero-coupon bondto that of an n - 1 - period zero-coupon bond rolled ove

25、r into a one-year bond in year n is defined asA. the forward rate.B. the short rate.C. the yield to maturity.D. the discount rate.E. None of the options25. When computing yield to maturity, the implicit reinvestment assumption is that the interest payments are reinvested at theA. coupon rate.B. curr

26、ent yield.C. yield to maturity at the time of the investment.D. prevailing yield to maturity at the time interest payments are received.E. the average yield to maturity throughout the investment period.15-1126.Par Value51,000Time to Matuntv 20 1七白rs4<*CouponI004(paid annmilly)Current Price$8 50Yi

27、eld to Maturity 120*Given the bond described above, if interest were paid semi-annually (rather than annually), and the bond continued to be priced at $850, the resulting effective annual yield to maturity would beA. less than 12%.B. more than 12%.C. 12%.D. Cannot be determinedE. None of the options

28、27. Forward rates future short rates because.A. are equal to; they are both extracted from yields to maturityB. are equal to; they are perfect forecastsC. differ from; they are imperfect forecastsD. differ from; forward rates are estimated from dealer quotes while future short rates are extracted fr

29、om yields to maturityE. are equal to; although they are estimated from different sources they both are used by traders to make purchase decisions15-1228. The pure yield curve can be estimatedA. by using zero-coupon Treasuries.B. by using stripped Treasuries if each coupon is treated as a separate &q

30、uot;zero."C. by using corporate bonds with different risk ratings.D. by estimating liquidity premiums for different maturities.E. by using zero-coupon Treasuries and by using stripped Treasuries if each coupon is treated as a separate "zero."29. The on the run yield curve isA. aplot o

31、f yield as afunctionof maturity for zero-coupon bonds.B. aplot of yield as afunctionof maturity for recently issued couponbondstradingator near par.C. aplot of yield as afunctionof maturity for corporate bonds with differentriskratings.D. aplot of liquidity premiumsfor different maturities.30. The y

32、ield curveA. is a graphical depiction of term structure of interest rates.B. is usually depicted for U.S. Treasuries in order to hold risk constant across maturities and yields.C. is usually depicted for corporate bonds of different ratings.D. is a graphical depiction of term structure of interest r

33、ates and is usually depicted for U.S. Treasuries in order to hold risk constant across maturities and yields.E. is a graphical depiction of term structure of interest rates and is usually depicted for corporate bonds of different ratings.15-1331.What should the purchase price of a 2-year zero-coupon

34、 bond be if it is purchased at the beginning of year 2 and has face value of $1,000?A. $877.54B. $888.33C. $883.32D. $893.36E. $871.8032.What would the yield to maturity be on a four-year zero-coupon bond purchased todayA. 5.80%B. 7.30%C. 6.65%D. 7.25%E. None of the options15-1433.丫：口 1二u 口】捐F Rvtu1

35、5.8%2T6.4%37.1%47.3%574%Calculate the price at the beginning of year 1 of a 10% annual coupon bond with face value $1,000 and 5 years to maturity.A. $1,105B. $1,132C. $1,179D. $1,150E. $1,11934. Given the yield on a 3 year zero-coupon bond is 7.2% and forward rates of 6.1% in year 1 and6.9% in year

36、2, what must be the forward rate in year 3?A. 8.4%B. 8.6%C. 8.1%D. 8.9%E. None of the options15-1535. An inverted yield curve is oneA. with a hump in the middle.B. constructed by using convertible bonds.C. that is relatively flat.D. that plots the inverse relationship between bond prices and bond yi

37、elds.E. that slopes downward.36. Investors can use publicly available financial data to determine which of the following?I) The shape of the yield curveII) Expected future short-term rates (if liquidity premiums are ignored)III) The direction the Dow indexes are headingIV) The actions to be taken by

38、 the Federal ReserveA. I and IIB. I and IIIC. I, II, and IIID. I, III, and IVE. I, II, III, and IV37. Which of the following combinations will result in a sharply increasing yield curve?A. Increasing future expected short rates and increasing liquidity premiumsB. Decreasing future expected short rat

39、es and increasing liquidity premiumsC. Increasing future expected short rates and decreasing liquidity premiumsD. Increasing future expected short rates and constant liquidity premiumsE. Constant future expected short rates and increasing liquidity premiums15-1638. The yield curve is a component ofA

40、. the Dow Jones Industrial Average.B. the consumer price index.C. the index of leading economic indicators.D. the producer price index.E. the inflation index.39. The most recently issued Treasury securities are calledA. on the run.B. off the run.C. on the market.D. off the market.E. None of the opti

41、ons15-1740. Suppose that all investors expect that interest rates for the 4 years will be as follows:YearForward Inturu以 Rnlu0(t<Kkiv)3°o1J25。飛6°oWhat is the price of 3-year zero-coupon bond with a par value of $1,000?A. $889.08B. $816.58C. $772.18D. $765.55E. None of the options15-1841

42、. Suppose that all investors expect that interest rates for the 4 years will be as follows:Yu町 EcrwFrd nturust Rnlu0 (todiiv)3Qo1 爐J2 5。*3 6°oIf you have just purchased a 4-year zero-coupon bond, what would be the expected rate of return on your investment in the first year if the implied forwa

43、rd rates stay the same? (Par value of the bond = $1,000.)A. 5%B. 3%C. 9%D. 10%E. None of the options15-1942. Suppose that all investors expect that interest rates for the 4 years will be as follows:Yui F"cr-rd nkre時 Rntu 0 (t<Kkiy)30oWhat is the price of a 2-year maturity bond with a 5% coup

44、on rate paid annually? (Par value = $1,000.)A. $1,092.97B. $1,054.24C. $1,028.51D. $1,073.34E. None of the options43. Suppose that all investors expect that interest rates for the 4 years will be as follows:F crw日rd nEureW RMe0125。©A6、What is the yield to maturity of a 3-year zero-coupon bond?A

45、. 7.00%B. 9.00%C. 6.99%D. 4.00%E. None of the options15-2044. The following is a list of prices for zero-coupon bonds with different maturities and par value of$1,000.Prigs1$925.16$862.573$7S&664$71 LOOWhat is, according to the expectations theory, the expected forward rate in thethird year?A. 7

46、.23%B. 9.37%C. 9.00%D. 10.9%45. The following is a list of prices for zero-coupon bonds with different maturities and par value of $1,000.Prig 因1$925.167二$862,573$7S4664$71 LOOWhat is the yield to maturity on a 3-year zero-coupon bond?A. 6.37%B. 9.00%C. 7.33%D. 8.24%15-2146. The following is a list

47、of prices for zero-coupon bonds with different maturities and par value of $1,000.Prig四i$925,167Am$862,573$7S&664$71 LOOWhat is the price of a 4-year maturity bond with a 10% coupon rate paid annually? (Par value = $1,000.)A. $742.09B. $1,222.09C. $1,035.66D. $1,141.8415-2247. The following is a

48、 list of prices for zero-coupon bonds with different maturities and par value of$1,000.1$925.161Am$862.573$7S&664$71 LOOYou have purchased a 4-year maturity bond with a 9% coupon rate paid annually. The bond has a par value of $1,000. What would the price of the bond be one year from now if the

49、implied forward rates stay the same?A. $995.63B. $1,108.88C. $1,000.00D. $1,042.7815-2348.Par ahic$LOOOTime to MaturityIS yearsCoupon90o (paid atmually)C'uiTcnt Price$917.99YiSd to Mahir it v10%*Given the bond described above, if interest were paid semi-annually (rather than annually), and the b

50、ond continued to be priced at $917.99, the resulting effective annual yield to maturity would beA. less than 10%.B. more than 10%.C. 10%.D. Cannot be determinedE. None of the options49.What should the purchase price of a 2-year zero-coupon bond be if it is purchased at the beginning of year 2 and ha

51、s face value of $1,000?A. $877.54B. $888.33C. $883.32D. $894.21E. $871.8015-2450.What would the yield to maturity be on a four-year zero-coupon bond purchased today?A. 5.75%B. 6.30%C. 5.65%D. 5.25%51.Calculate the price at the beginning of year 1 of an 8% annual coupon bond with face value $1,000 an

52、d 5 years to maturity.A. $1,105.47B. $1,131.91C. $1,084.25D. $1,150.01E. $719.7515-2552. Given the yield on a 3-year zero-coupon bond is 7% and forward rates of 6% in year 1 and 6.5% in year 2, what must be the forward rate in year 3?A. 7.2%B. 8.6%C. 8.5%D. 6.9%53.YumForward RikI4.6°o2|4.9°

53、;o3I 5.2°o45.5%55.8%What should the purchase price of a 1-year zero-coupon bond be if it is purchased today and has face value of $1,000?A. $966.37B. $912.87C. $950.21D. $956.02E. $945.5115-2654.What should the purchase price of a 2-year zero-coupon bond be if it is purchased today and has face

54、 value of $1,000?A. $966.87B. $911.37C. $950.21D. $956.02E. $945.51Yuar14.6%_J74.9%-n35.2%45.5%155.8%55.What should the purchase price of a 3-year zero-coupon bond be if it is purchased today and has face value of $1,000?A. $887.42B. $871.12C. $879.54D. $856.02E. $866.3215-2756.What should the purch

55、ase price of a 4-year zero-coupon bond be if it is purchased today and has face value of $1,000?A. $887.42B. $821.15C. $879.54D. $856.02E. $866.3257.What should the purchase price of a 5-year zero-coupon bond be if it is purchased today and hasface value of $1,000?A. $776.14B. $721.15C. $779.54D. $7

56、56.02E. $766.3215-2858.What is the yield to maturity of a 1-year bond?A. 4.6%B. 4.9%C. 5.2%D. 5.5%E. 5.8%59.What is the yield to maturity of a 5-year bond?A. 4.6%B. 4.9%C. 5.2%D. 5.5%E. 5.8%15-2960.What is the yield to maturity of a 4-year bond?A. 4.69%B. 4.95%C. 5.02%D. 5.05%E. 5.08%61.What is the yield to maturity of a 3-year bond?A. 4.6%