文档介绍：2021 FRM Part I
百题巅峰班估值与风险模型
2021年3月
4. Valuation and Risk Models
Bond Replication
重要知识点
Law of mat ur it y rises as the coupon rises.
基础题
Q-3. An e ight (8 )-yea r bond wit h a cu rre nt price of $ pays an annua l coupon of %.
What is the bond 's yie ld-to-mat urit y (YTM)?
A. %
B. 6 .41%
C. %
D. %
Q-4. Each of the follo wi ng is neces sarily TRUE about a bond's yie ld-to-mat urit y (YTM) EXCEP T:
A bond that sells at a pre mium to par has a yie l d (YTM) that is less than its coupon rate
A bond that sells at a dis count to par has a yie l d (YTM) that is greater than its coupon rate
The yie ld (YTM) of a zero-coupon bond eq ua ls the spot (ze ro ) rate of the bond's mat ur it y
If the same term structure of spot rates applies to two bonds wit h identical mat ur it ie s, the bond wit h the highe r yield (YTM) is a su perio r investme nt
Du rat ion and DVOl
重要知识点
Duration
► Macaulay Du rat io n Modified Dur at ion
DVOl & DD
► DVOl"'lbps
► DV01 = DD X
Portfolio Duration
► D portfolio = L忆W; XD ;
基础题
Q-5. A t rad ing port fo lio consist s of t w o bonds , A and B. Both have mod ifi ed durat ion of 3 year s and face value of USO 1000 , but A is a zero-coupon bond and its cur rent pri ce is USO 900, and bond B pays annual coupons and is priced at par. What do you expect will happen to the market prices of A and B if the risk-free yield curve moves up by 1 basi s p oint ?
Bot h b ond prices will move up by roughly the same amount .
Bot h b ond prices will move up, but bond B will gain more than bond A.
Both bond prices will move down by roughly equal amount s.
Both bond prices will move down, but bond B will lose mo re than bond A.
Q-6. Which of the fo llowing assum pt ions ar e made when using DVOl as a measure of int erest r at e risk? 一手更新微信： x u eb a j un 8 8 8 s
Changes in the int erest rates ar e sma l