文档介绍：该【CFA二级经典题 固定收益 打印版 】是由【经管专家】上传分享，文档一共【145】页，该文档可以免费在线阅读，需要了解更多关于【CFA二级经典题 固定收益 打印版 】的内容，可以使用淘豆网的站内搜索功能，选择自己适合的文档，以下文字是截取该文章内的部分文字，如需要获得完整电子版，请下载此文档到您的设备，方便您编辑和打印。e),'з????Я????1-386Reading32TheTermStructureandInterestRateDynamics2-386Example?Aone-yearzero-%.Thetwo-andthree-yearzero-%%-386Example?Therateforaone-yearloanbeginninginoneyearisclosestto:%.%.%.4-386Example?Answer:CzFromtheforwardratemodel,wehavez[1+r(2)]2=[1+r(1)]1[1+f(1,1)]1zUsingtheone-andtwo-yearspotrates,wehave?????????????????z(1+.05)2=(1+.04)1[1+f(1,1)]1,so??=f(1,1)=%5-386Example?Theforwardrateforatwo-yearloanbeginninginoneyearisclosestto:%%%6-386Example?Answer:CzFromtheforwardratemodel,z[1+r(3)]3=[1+r(1)]1[1+f(1,2)]2zUsingtheoneandthree-yearspotrates,wefind?????????????????z(1+)3=(1+)1[1+f(1,2)]2,so???=f(1,2)=%7-386Example?Theforwardrateforaone-yearloanbeginningintwoyearsisclosestto:%%%8-386Example?Answer:CzFromtheforwardratemodel,z[1+r(3)]3=[1+r(2)]2[1+f(2,1)]1zUsingthetwoandthree-yearspotrates,wefind?????????????????z(1+)3=(1+)2[1+f(2,1)]1,so???=f(2,1)=%9-386Example?Thefive-yearspotrateisnotgivenabove;however,theforwardpriceforatwo-yearzero--yearzero-couponbondisclosestto:-386Example?Answer:AzWecanconvertspotratestospotpricestofindP(3)==-yearzeroasP(T*+T)=P(T*)F(T*,T),soP(5)=P(3)F(3,2)=?=-386Example?Theone-yearspotrater(1)=4%,theforwardrateforaone-yearloanbeginninginoneyearis6%,andtheforwardrateforaone-yearloanbeginningintwoyearsis8%.Whichofthefollowingratesisclosesttothethree-yearspotrate?%%%12-386Example?Answer:BzApplyingtheforwardratemodel,wefindz[1+r(3)]3=[1+r(1)]1[1+f(1,1)]1[1+f(2,1)]1zSo[1+r(3)]3=(1+)1(1+)1(1+)1,????????=r(3)=%.13-386Example?Theone-yearspotrater(1)=5%andtheforwardpriceforaone-yearzero--yearzero-couponbondisclosestto:-386Example?Answer:BzWecanconvertspotratestospotpricesandusetheforwardpricingmodel,sohaveP(1)=?=(T*+T)=????P(T*)F(T*,T)soP(2)=P(1)F(1,1)=?=-386Example?Inatypicalinterestrateswapcontract,theswaprateisbestdescribedastheinterestrateforthe:---386Example?Answer:AzTheswaprateistheinterestrateforthefixed--386Example?Atwo-yearfixed-for-%andthetwo-%.Theswapspreadisclosestto:-386Example?Answer:AzTheswapspread=%?%=%-386Example?-yearUSTreasurybondisyielding2%,theratepaidbythefixedpayerinafive-yearinterestrateswapisclosestto:%.%.%.20-386Example?Answer:CzThefixedlegofthefive-yearfixed-for-floatingswapwillbeequaltothefive-yearTreasuryrateplustheswapspread:2%+%=%.21-386Example?Ifthethree-monthT-billratedropsandtheLiborrateremainsthesame,therelevantTEDspread:-386Example?Answer:AzTheTEDspreadisthedifferencebetweenthethree-monthLiborrateandthethree--billratefallsandLibordoesnotchange,-386Example?GiventheyieldcurveforUSTreasuryzero-couponbonds,whichspreadismosthelpfulpricingacorporatebond?The:-–-386Example?Answer:AzTheZ-spreadisthesingleratewhich,whenaddedtotheratesofthespotyieldcurve,-386Example?Afour-yearcorporatebondwitha7%couponhasaZ-%:-386Example?Answer:AzThe200bpsZ-spreadcanbeaddedtothe5%%discountratewillbethesameforallofthebond’scash-flows,%couponbondyielding7%-386Example?TheZ-%andtheZ-%.Allelseequal,whichstatementbestdescribestherelationshipbetweenthetwobonds?-386Example?Answer:BzThehigherZ--386Example?Whichtermstructuremodelcanbecalibratedtocloselyfitanobservedyieldcurve?––Ingersoll–RossModel30-386