金融市场与金融机构基础(共19页).doc

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1、精选优质文档-倾情为你奉上Foundations of Financial Markets and Institutions, 4e (Fabozzi/Modigliani/Jones)Chapter 11 The Term Structure of Interest RatesMultiple Choice Questions1 The Yield Curve and the Term Structure1) Market participants have tended to construct yield curves from observations of prices and yi

2、elds in the Treasury market. Two reasons account for this tendency. Which of the below is ONE of these reasons?A) The smallest and most inactive bond market, the Treasury market offers the fewest problems of illiquidity or frequent tradingB) Treasury securities have a small amounts of default risk,

3、and differences in creditworthiness do affect yield estimates.C) The largest and most active bond market, the Treasury market offers the fewest problems of illiquidity or infrequent trading.D) Treasury securities are full of default risk, and differences in creditworthiness do not affect yield estim

4、ates.Answer: CComment: Market participants have tended to construct yield curves from observations of prices and yields in the Treasury market. Two reasons account for this tendency. First, Treasury securities are free of default risk, and differences in creditworthiness do not affect yield estimate

5、s. Second, as the largest and most active bond market, the Treasury market offers the fewest problems of illiquidity or infrequent trading.Diff: 2Topic: 11.1 The Yield Curve and the Term StructureObjective: 11.4 how a theoretical spot rate curve can be determined from the Treasury yield curve2) More

6、 recently market participants have come to realize that the traditionally constructed Treasury yield curve is _ measure of the relation between required yield and maturity with the key reason is that securities with the same maturity may actually provide _.A) an unsatisfactory; different yieldsB) an

7、 unsatisfactory; very similar yieldsC) a satisfactory; different yieldsD) a satisfactory; very similar yieldsAnswer: AComment: More recently market participants have come to realize that the traditionally constructed Treasury yield curve is an unsatisfactory measure of the relation between required

8、yield and maturity with the key reason is that securities with the same maturity may actually provide different yields.Diff: 2Topic: 11.1 The Yield Curve and the Term StructureObjective: 11.1 what the yield curve is3) Because of the different cash flow patterns, it is not appropriate to use _ to dis

9、count all cash flows because each cash flow should be discounted at _ that is appropriate for the time period in which the cash flow will be received.A) the same interest rate; a different interest rateB) the same interest rate; a unique interest rateC) a different interest rate; a common interest r

10、ateD) a different interest rate; a unique interest rateAnswer: BComment: Because of the different cash flow patterns, it is not appropriate to use the same interest rate to discount all cash flows because each cash flow should be discounted at a unique interest rate that is appropriate for the time

11、period in which the cash flow will be received.Diff: 2Topic: 11.1 The Yield Curve and the Term StructureObjective: 11.4 how a theoretical spot rate curve can be determined from the Treasury yield curve4) The correct way to think about bonds A and B is not as bonds but as packages of _.A) coupon paym

12、ents.B) separate bond instruments.C) zero-coupons without payments.D) zero-coupon instruments.Answer: DComment: The correct way to think about bonds A and B is not as bonds but as packages of cash flows. More specifically, they are packages of zero-coupon instruments.Diff: 2Topic: 11.1 The Yield Cur

13、ve and the Term StructureObjective: 11.3 what is meant by a spot rate and a spot rate curve5) Which of the below statements is FALSE?A) To determine the value of each zero-coupon instrument, it is necessary to know the yield on a zero-coupon Treasury with that same maturity this yield is called the

14、forward rate.B) Each zero-coupon instrument in the package has a maturity equal to its coupon payment date or, in the case of the principal, the maturity date.C) The value of the bond should equal the value of all the component zero-coupon instruments.D) the graphical depiction of the relationship b

15、etween the spot rate and its maturity is called the spot rate curve.Answer: AComment: To determine the value of each zero-coupon instrument, it is necessary to know the yield on a zero-coupon Treasury with that same maturity this yield is called the spot rate.Diff: 2Topic: 11.1 The Yield Curve and t

16、he Term StructureObjective: 11.2 the different shapes that the term structure can take6) It is important to remember that the basic principle underlying bootstrapping is that the value of the Treasury coupon security should be equal to the value of the package of _ that duplicates the _.A) coupon pa

17、ying T-Bills; coupon bonds cash flowB) zero-coupon Treasury securities; coupon bonds cash flowC) coupon paying T-Bills; discount bonds cash flowD) zero-coupon Treasury securities; discount bonds cash flowAnswer: BDiff: 2Topic: 11.1 The Yield Curve and the Term StructureObjective: 11.4 how a theoreti

18、cal spot rate curve can be determined from the Treasury yield curve7) A Treasury bill is a zero-coupon instrument. Therefore, its annualized yield is equal to the spot rate. Similarly, for the one-year Treasury, its cited yield is the one-year spot rate. Given these two spot rates, we can compute th

19、e spot rate for _.A) a theoretical 0.5-year zero-coupon Treasury.B) a theoretical 1.0-year zero-coupon Treasury.C) a theoretical 1.5-year zero-coupon Treasury.D) a theoretical 2.0-year zero-coupon Treasury.Answer: CDiff: 2Topic: 11.1 The Yield Curve and the Term StructureObjective: 11.3 what is mean

20、t by a spot rate and a spot rate curve2 Forward Rates1) Consider the following two investment alternatives for an investor who has a one-year investment horizon. For Alternative 1, the investor buys a one-year instrument. For alternative 2, the investor buys a six-month instrument and when it mature

21、s in six months the investor buys another six-month instrument. Which of the below statements is FALSE?A) Given the one-year spot rate, there is some rate on a six-month instrument one year from now that will make the investor indifferent between the two alternatives.B) With Alternative 1, the inves

22、tor will realize the one-year spot rate and that rate is known with certainty.C) With Alternative 2, the investor will realize the six-month spot rate, but the six-month rate six months from now is unknown.D) For Alternative 2, the rate that will be earned over one year is not known with certainty.A

23、nswer: AComment: Given the one-year spot rate, there is some rate on a six-month instrument six months from now that will make the investor indifferent between the two alternatives.Diff: 2Topic: 11.2 Forward RatesObjective: 11.5 what is meant by an implicit forward rate and how it can be calculated2

24、) Which of the below equations give the forward rate (f) for a six-month security if z1 is the six-month spot rate and z2 is the one-year spot rate?A) f = B) f = C) f = D) f = Answer: ADiff: 2Topic: 11.2 Forward RatesObjective: 11.5 what is meant by an implicit forward rate and how it can be calcula

25、ted3) What is the forward rate (f) for a six-month security if z1 is 2.00% and z2 is 3.50%?A) 5.00%B) 5.02%C) 5.04%D) 5.06%Answer: BComment: We have: six-month spot rate = 4% given that z1 is 2.00% and one-year spot rate is 7.00% given that z2 =3.50%. Inserting in these value into the equation for t

26、he forward rate (f) on a six month security, we have: f = = = = 1.05022 1 = 0.05022 or about 5.02%.Diff: 2Topic: 11.2 Forward RatesObjective: 11.5 what is meant by an implicit forward rate and how it can be calculated4) What is the forward rate (f) for if the six-month spot rate is 5% and the one-ye

27、ar spot rate is 9%?A) 6.00%B) 6.12%C) 6.31%D) 6.54%Answer: DComment: We have: six-month spot rate = 5% so that z1 is 2.50% and one-year spot rate is 9.00% so that z2 = 4.50%. Inserting in these value into the equation for the forward rate (f) on a six month security, we have: f = = = = 1.06539 - 1 =

28、 0.06539 or about 6.54%.Diff: 2Topic: 11.2 Forward RatesObjective: 11.5 what is meant by an implicit forward rate and how it can be calculated5) As quoted on a bond equivalent basis, what is the forward rate (f) for a six-month security if z1 is 2.00% and z2 is 4.50%?A) 7.06%B) 9.02%C) 14.12%D) 15.0

29、6%Answer: CComment: We have: six-month spot rate = 4% given that z1 is 2.00% and one-year spot rate is 9.00% given that z2 = 4.50%. Inserting in these value into the equation for the forward rate (f) on a six month security, we have: f = = = = 1.07061 - 1 = 0.07061 or about 7.061%. Thus, the bond eq

30、uivalent basis = 2 7.061% = 14.122% or about 14.12%.Diff: 2Topic: 11.2 Forward RatesObjective: 11.5 what is meant by an implicit forward rate and how it can be calculated6) As quoted on a bond equivalent basis, what is the forward rate (f) for if the six-month spot rate is 3.50% and the one-year spo

31、t rate is 6.55%?A) 9.65%B) 8.12%C) 6.28%D) 4.83%Answer: AComment: We have: six-month spot rate = 3.50% so that z1 is 1.75% and one-year spot rate is 6.55% so that z2 =3.275%. Inserting in these value into the equation for the forward rate (f) on a six month security, we have: f = = = = 1.04823 - 1 =

32、 0. or about 4.8229%. Thus, the bond equivalent basis = 2 4.8229% = 9.646% or about 9.65%.Diff: 3Topic: 11.2 Forward RatesObjective: 11.5 what is meant by an implicit forward rate and how it can be calculated7) Suppose that the six-month spot rate is 4.00% and one-year spot rate is 8.10%. Additional

33、ly, suppose that you can look into a crystal ball and know for sure that six months from now that the six-month rate will be 3.60%. Finally, suppose that there is an investor who expects that six months from now, the six month rate will be 4.10%. That is, the investor expects that the six-month rate

34、 will be higher than its current level of 4.00%. How would you advise an investor who wants to buy a six-month instrument and when it matures in six months buy another six-month instrument?A) You would advise the investor to buy at the six-month spot rate and then in six months buy another six-month

35、 instrument because the investor will make 41.6 cents more this way for every $100 invested.B) It really does not matter because you will break even either way.C) You would advise the investor not to buy at the current rate and reinvest six month later by buying another six-month instrument because

36、the investor will lose money compared to investing at the one-year spot rate.D) Using the formula for f we can show that the investor is correct in their assessment and thus it does not matter what the six-month spot rate will be in six months.Answer: CComment: We have: six-month spot rate = 8.00% s

37、o that z1 is 4.00% and one-year spot rate is 8.10% so that z2 = 4.05%. Inserting in these value into the equation for the forward rate (f) on a six month security, we have: f = = = = 1.04100 - 1 = 0.0410 or about 4.10%. Thus, the bond equivalent basis = 2 4.10% = 8.20%. The investor is correct in th

38、eir expectations about the 4.10% future six-month spot rate. However, if you know for sure the rate will only be 3.60% then the investor will get $100 (1.04) (1.036) = $107.744 for every $100 invested compared to $100 (1.04)2 = $108.16 by investing in the one-year spot rate ($108 if the 8% is an ann

39、ual rate instead of semi-annual compounding) . Thus, you would advise the investor to lock in the 8% on the current one-year spot rate. The investor will gain $108.16 - $100.744 = 41.6 cents for every $100 invested (or 26.6 cents if at 8% annual). If the investor does not follow your recommendation,

40、 then the investor will lose 41.6 cents or $0.416 per $100 invested.Diff: 3Topic: 11.2 Forward RatesObjective: 11.5 what is meant by an implicit forward rate and how it can be calculated8) The market prices its expectations of future interest rates into the rates offered _.A) on investments with the

41、 same maturity date.B) on investments with two different maturity dates.C) on investments with different maturities.D) None of theseAnswer: CDiff: 2Topic: 11.2 Forward RatesObjective: 11.5 what is meant by an implicit forward rate and how it can be calculated9) Suppose an investor purchases a five-y

42、ear, zero-coupon Treasury security for $58.48 with a maturity value of $100. The investor could instead buy a six-month Treasury bill and reinvest the proceeds every six months for five years. The number of dollars that will be realized will _.A) be independent of spot and forward rates.B) not depen

43、d on the six-month forward rates.C) depend solely on the six-month spot rate today.D) depend on the six-month forward rates.Answer: DDiff: 2Topic: 11.2 Forward RatesObjective: 11.6 how long-term rates are related to the current short-term rate and short-term forward rates3 Historical Shapes Observed

44、 for the Treasury Yield Curve1) With an upward-sloping yield curve, the yield rises steadily as the _.A) maturity premium falls.B) default premium falls.C) maturity decreases.D) maturity increases.Answer: DDiff: 2Topic: 11.3 Historical Shapes Observed for the Treasury Yield CurveObjective: 11.2 the

45、different shapes that the term structure can take2) The slope of a yield curve is commonly measured in terms of _, which is the difference between long-term and short-term yields.A) the yield curve spreadB) the maturity spreadC) the default spreadD) the interest rate spreadAnswer: BDiff: 2Topic: 11.

46、3 Historical Shapes Observed for the Treasury Yield CurveObjective: 11.2 the different shapes that the term structure can take3) The convention in the marketplace is to refer to a Treasury positively sloped yield curve whose maturity spread (measured by the six month and 30-year yields) as a _ when

47、the spread is 300 basis points or less.A) maturity yield curveB) positively sloped yield curveC) normal yield curve D) negatively sloped yield curveAnswer: CDiff: 2Topic: 11.3 Historical Shapes Observed for the Treasury Yield CurveObjective: 11.2 the different shapes that the term structure can take4) There have not been many instances in the recent history of the U.S. Treasury market where the yield curve exhibited _.A) a downward-sloping.B) a normal sloping yield curve.C) a reverted yield curve.D) an upward-sloping yield curve.Answer: AComment: There have