1、注册金融分析师一级-25 及答案解析(总分：100.00，做题时间：90 分钟)一、单项选择题(总题数：60，分数：100.00)1.A 3-year, 15% annual-pay bond has a par value of $100. What would this bond be trading for if it were being priced to yield 23% as an annual rate?（分数：1.00）A.$83.9B.$89.2C.$105.62.Treasury spot rates are as follows: 6 months = 3%, 1 y
2、ear = 4%, 1.5 years = 5%. A 1.5-year, 3% Treasury note is trading at $943.4. The arbitrage trade and arbitrage profit are:（分数：1.00）A.buy the bond, sell the pieces, earn $28.3 per bond.B.buy the bond, sell the pieces, earn $31.2 per bond.C.sell the bond, buy the pieces, earn $28.3 per bond.某 3年期公司债券的
3、息票利息每年支付一次，息票率为 7.4%，交易价格为 1109.3美元，票面价值为 1000美元。该债券在 2年后的赎回价格和退还价格分别为 1052.3美元和 1020.0美元。试根据上述信息解答问题。（分数：8.00）(1).What is the bond“s current yield?（分数：1.00）A.6.7%B.7.2%C.8.4%(2).What is the bond“s yield to maturity?（分数：1.00）A.2.6%B.3.5%C.4.3%(3).What is the bond“s yield to call?（分数：1.00）A.3.8%B.4.2
4、%C.4.6%(4).What is the bond“s yield to put?（分数：1.00）A.2.7%B.3.3%C.5.4%(5).A bond has all annual coupon which is priced to yield 4.15%. What is this issue“s bond equivalent yield?（分数：1.00）A.2.57%B.3.93%C.4.11%(6).An analyst gathered the following information: period years annual par yield to maturity
5、 (%) theoretical spot rate (%) six-month forward rates (%) 0.5 1.0 1.5 3.00 3.30 3.50 3.00 3.30 3.51 3.00 3.61 3.91 2.0 3.90 3.92 5.15 The value of a single, default-free cash flow of $50000 at the end of period 4 is closest to:（分数：1.00）A.$46265.B.$46299.C.$46316.(7).The zero-volatility spread (Z-sp
6、read) is a measure of the spread of:（分数：1.00）A.all points on the Treasury spot curve.B.all points on the Treasury yield curve.C.one point on the Treasury yield curve.(8).Assuming the Treasury spot-rate yield curve is upward sloping. Compared to the nominal yield spread between a Treasury bond and an
7、 option-flee corporate bond of similar maturity, the Z-spread will be:（分数：1.00）A.equal to the nominal spread.B.less than the nominal spread.C.greater than the nominal spread.3.An investor purchase a bond that is putable at the option of the holder. The option has value. He has calculated the Z-sprea
8、d as 185 basis point. The option-adjusted spread will be:（分数：1.00）A.equal to 185 basis points.B.less than 185 basis points.C.greater than 185 basis points.4.The option adjusted spread (OAS) is best described as the:（分数：1.00）A.Z-spread minus the option cost.B.Z-spread plus the cost of the option.C.va
9、lue of the security“s embedded option.5.The 3-year spot rate is 8.7%, and the 2-year spot rate is 9.2%. What is the 1-year forward rate two years form present?（分数：1.00）A.5.8%B.7.2%C.7.7%6.An investor accumulated the following financial data: current 1-year rate =4.8% 1 f 1 =6.3% 1 f 2 =7.5% Using an
10、nual compounding, the value of a 3-year, zero-coupon, $1000 par value bond would be:（分数：1.00）A.$792.B.$835.C.$1086.7.Relative to the duration/convexity approach, a shortcoming of the full value approach to measuring the interest rate risk of a bond portfolio is that is that it:（分数：1.00）A.is relative
11、ly time consuming.B.cannot be used for stress testing.C.ignores the impact of embedded options.8.A 12% semiannual-pay coupon bond has 1.5 years to maturity. The bond is currently trading at par. Using a 100 basis point change in yield, what is the effective duration of the bond?（分数：1.00）A.1.34B.3.28
12、C.5.629.The modified duration of a bond is 6.45. The percentage change in price using duration for a yield decrease of 50 basis points is closest to:（分数：1.00）A.-3. 225%B.2.432%C.3.225%10.A portfolio manager uses her valuation model to estimate the value of a bond as $125.482. Using the same model, s
13、he estimates that the value would increase to $127.723 if interest rates fell 30 bps and would decrease to $122.164 if interest rates rose to 30 bps. Using these estimates, the effective duration of the bond is closest to:（分数：1.00）A.2.26B.7.38C.14.7711.The duration of a fixed-income portfolio is bes
14、t interpreted as the:（分数：1.00）A.derivative of the price function for the bonds in the portfolio.B.percentage change in the portfolio“s value if interest rates change by 100 basis points.C.weighted average number of years to receive the present value of the portfolio“s cash flows.12.An analyst has no
15、ticed lately that the price of a particular bond has risen less when the yield falls by 0.5% than the price falls when rates increase by 0.5%. He could include that the bond:（分数：1.00）A.has negative convexity.B.is an option-free bond.C.has an embedded put option.13.Assuming a bond has an effective du
16、ration of 5.3 and a convexity of 84.7. Using both of these measures, the estimated percentage change in price for this bond, in response to a decline in yield of 150 basis points, is closest to:（分数：1.00）A.-2.45B.9.86C.12.5714.The current price of a $1000, 2-year, 4.7% annual coupon bond is $1036.6.
17、The bond“s PVBP is closest to:（分数：1.00）A.$0.3B.$0.4C.$0.815.A customized agreement to purchase a certain T-bond next Wednesday for a price of $1000 is:（分数：1.00）A.an option.B.a future contract.C.a forward commitment.16.Arbitrage prevents:（分数：1.00）A.market efficiency.B.profit higher than the risk-free
18、 rate of return.C.two assets with identical payoffs from selling at different prices.17.On the settlement date of a forward contract:（分数：1.00）A.the short may be required to sell the asset.B.the long must sell the asset or make a cash payment.C.at least one party must make a cash payment to the other
19、.18.Two parties agree to a forward contract to deliver the S Firm B pays $150000. B. Firm A pays $150000; Firm B pays 165600. C. Firm A pays （分数：2.00）A.B.C.(2).At the end of year 3, firm A will pay which of the following total amounts? A. 2760000 B. 2850000 C. （分数：2.00）A.B.C.A公司借入了一笔浮动利率贷款，但该公司希望承担固
20、定利率利息。为了达到上述目标，该公司与 B公司签署了一份两年期利率互换协议。根据该份互换协议，贷款总额为 100万美元，A 公司承担固定利率利息，互换利息每季度支付一次。已知固定利率为 4%，浮动利率为 90天期 LIBOR+0.5%，且假设一年为 360天。当前的 90天期 LIBOR为 4.3%，第一季度的 90天期 LIBOR为 4.5%，第二季度的 90天期 LIBOR为 4.6%，第三季度的 90天期 LIBOR为 4.7%，第四季度的 90天期 LIBOR为 5.2%，第二年第一季度的 90天期 LIBOR为 5.0%。试根据上述条件解答问题。（分数：4.00）(1).The se
21、cond net swap payment is:（分数：2.00）A.$2500 from firm A to firm B.B.$2250 from firm B to firm A.C.$2500 from firm B to firm A.(2).The fifth net swap payment is:（分数：2.00）A.$4000 from firm A to firm B.B.$4000 from firm B to firm A.C.$4250 from firm B to firm A.43.An investor buys a put on a stock sellin
22、g for $27, with a striking price of $25 for a premium of $4. The maximum gain of the investor is:（分数：2.00）A.$21B.$23C.$2944.A put with a strike price of $45 sells for a premium of $3. Which of the following statements is least accurate?（分数：2.00）A.The greatest loss of the writer can make is $42.B.The
23、 greatest profit of the buyer can make is $48.C.The greatest profit of the writer can make is $3.45.A call option sells for a premium of $2 on a $12 stock with a strike price of $15. Which of the following statements is least accurate?（分数：2.00）A.At expiration, the buyer of the call will not make a p
24、rofit unless the stock“s price exceeds $15.B.At expiration, the writer of the call will experience a net loss if the price of the stock exceeds $17.C.A covered call position at these prices has a maximum gain of $5 and the maximum loss of the stock price less the premium.46.Which of the following co
25、mbinations of options and underlying investments have similarly shaped profit/loss diagrams?（分数：2.00）A.A covered call, and a short stock combined with a long call.B.A short put option combined with a long call option, and a protective put.C.A long call option combined with a short put option, and a
26、long stock position.47.An investor is considering purchasing shares of the ABC fund that has an NAV equal to $12.14. Given that the current market price is $14.82, which of the following statements is most accurate?（分数：2.00）A.ABC is an open-end fund.B.ABC charges a front-end load.C.The investor can
27、purchase shares of the ABC fund at a premium to NAV.48.An important benefit of an exchange-traded fund“s creation and redemption process is that it:（分数：2.00）A.provides diversification to shareholders.B.increases liquidity for investment company managers.C.provides capital gains tax relief to existin
28、g shareholders.49.When using the net income approach (NOI) in real estate valuation, if inflation is passed through, the appraisal price will most likely:（分数：2.00）A.increase.B.decrease.C.remain unchanged.50.An analyst collects the following data: apartments under consideration apartments recently so
29、ld office building recently sold net operating income (NOI) $250000 $91000 $48000 sales price $700000 $3000000 Based on the data provided, the appraisal price of the apartments under consideration is closest to:（分数：2.00）A.$1562500B.$1724138C.$192307751.What is the NOI for an office building, calcula
30、ted with the following information: gross rental income $35000 estimated vacancy and losses 6% taxes and insurance $7500 utilities and maintenance $9200（分数：2.00）A.$15500B.$16200C.$1830052.An investor makes a $2.45 million investment in a venture capital project that has an expected payoff of $7 mill
31、ion at the end of three years. The cost capital is 15%. If the conditional annual failure probabilities over the first three years are 25%, 15%, and 12%, the expected NPV of the project is closest to:（分数：2.00）A.$132066B.$148235C.$20783253.A hedge fund that seeks to invest in the equity and debt of c
32、ompanies emerging from bankruptcy reorganization can best be described as a (n):（分数：2.00）A.event-driven fund.B.global macro fund.C.market-neutral fund.54.A fund of funds investing is least likely to provide its investors with which of the following advantages?（分数：2.00）A.Performance of due diligence.
33、B.Diversification across several markets.C.Lower fees through economies of scale.55.The main motivation for a passive investor to participation in the commodities market is that it provides:（分数：2.00）A.for speculative profits.B.a hedge against inflation risk.C.participation in the real economy.56.A c
34、ommodities market tends to be in backwardation if:（分数：2.00）A.the futures prices are equal to the spot price.B.it is dominated by producers of the commodity.C.the futures prices are greater than the spot price.57.When a commodity market is in contango, the roll yield is most likely:（分数：2.00）A.zero.B.
35、positive.C.negative.注册金融分析师一级-25 答案解析(总分：100.00，做题时间：90 分钟)一、单项选择题(总题数：60，分数：100.00)1.A 3-year, 15% annual-pay bond has a par value of $100. What would this bond be trading for if it were being priced to yield 23% as an annual rate?（分数：1.00）A.$83.9 B.$89.2C.$105.6解析：解析 2.Treasury spot rates are as f
36、ollows: 6 months = 3%, 1 year = 4%, 1.5 years = 5%. A 1.5-year, 3% Treasury note is trading at $943.4. The arbitrage trade and arbitrage profit are:（分数：1.00）A.buy the bond, sell the pieces, earn $28.3 per bond. B.buy the bond, sell the pieces, earn $31.2 per bond.C.sell the bond, buy the pieces, ear
37、n $28.3 per bond.解析：解析 国库券的无套利价格(基于即期利率的现值) 某 3年期公司债券的息票利息每年支付一次，息票率为 7.4%，交易价格为 1109.3美元，票面价值为 1000美元。该债券在 2年后的赎回价格和退还价格分别为 1052.3美元和 1020.0美元。试根据上述信息解答问题。（分数：8.00）(1).What is the bond“s current yield?（分数：1.00）A.6.7% B.7.2%C.8.4%解析：解析 (2).What is the bond“s yield to maturity?（分数：1.00）A.2.6%B.3.5% C
38、.4.3%解析：解析 (3).What is the bond“s yield to call?（分数：1.00）A.3.8%B.4.2% C.4.6%解析：解析 (4).What is the bond“s yield to put?（分数：1.00）A.2.7% B.3.3%C.5.4%解析：解析 (5).A bond has all annual coupon which is priced to yield 4.15%. What is this issue“s bond equivalent yield?（分数：1.00）A.2.57%B.3.93%C.4.11% 解析：解析 等价收
39、益率=(1+4.15%) 0.5 -12=4.11% 即 4.15%的一年期息票债券收益率相当于 4.11%的半年期息票债券收益率。(6).An analyst gathered the following information: period years annual par yield to maturity (%) theoretical spot rate (%) six-month forward rates (%) 0.5 1.0 1.5 2.0 3.00 3.30 3.50 3.90 3.00 3.30 3.51 3.92 3.00 3.61 3.91 5.15 The val
40、ue of a single, default-free cash flow of $50000 at the end of period 4 is closest to:（分数：1.00）A.$46265. B.$46299.C.$46316.解析：解析 国库券的理论即期利率可用于无风险现金流的定价，因此，本题所求现金流=(7).The zero-volatility spread (Z-spread) is a measure of the spread of:（分数：1.00）A.all points on the Treasury spot curve. B.all points on
41、 the Treasury yield curve.C.one point on the Treasury yield curve.解析：解析 零波动差额用于度量以下指标：如果投资者选择将债券持有至到期日，则投资者在整个同库券即期曲线上可以实现的差额。因此，本题的正确选项为 A。(8).Assuming the Treasury spot-rate yield curve is upward sloping. Compared to the nominal yield spread between a Treasury bond and an option-flee corporate bon
42、d of similar maturity, the Z-spread will be:（分数：1.00）A.equal to the nominal spread.B.less than the nominal spread.C.greater than the nominal spread. 解析：解析 基准即期利率曲线的斜率绝对值越大，则债券收益率的名义差额与零波动差额之间的差异越大。具体来讲，如果基准即期利率曲线的斜率为零(即曲线为水平线)，则债券收益率的名义差额等于零波动差额；如果基准即期利率曲线的斜率为正(即曲线向右上方倾斜)，则债券收益率的零波动差额大于名义差额；如果基准即期利率
43、曲线的斜率为负(即曲线向右下方倾斜)，则债券收益率的零波动差额小于名义差额。因此，本题的正确选项为 C。3.An investor purchase a bond that is putable at the option of the holder. The option has value. He has calculated the Z-spread as 185 basis point. The option-adjusted spread will be:（分数：1.00）A.equal to 185 basis points.B.less than 185 basis points
44、.C.greater than 185 basis points. 解析：解析 当债券包含嵌入期权时，我们需要使用期权调整差额(OAS)来确定其各期收益率。以可赎回债券为例，这类债券的收益率通常高于不包含此类期权债券的收益率，从而其收益率具有较大的名义差额和零波动差额。在不考虑期权价值的情况下，上述差额将表明该类债券具有较高的价值，但实际上，其额外的收益率只是债券赎回风险的补偿。一般来讲，债券的期权调整差额可以被视作零波动差额的期权收益率部分；从债券即期利率曲线的角度来讲，期权调整差额实际上是在不存在相关期权的条件下，该曲线沿垂直方向向下平移的截距。 可赎回债券的期权调整差额一般小于债券的零波
45、动差额，二者的差额就是用于对债券中的赎回期权进行补偿的附加收益率。如果我们把上述附加收益率称作期权成本，则可以得到以下关系式： 零波动差额-期权调整差额(OAS)=期权成本 对于包含有利于债券持有人的嵌入期权的短期债券(如可退还债券)来讲，由于其期权成本为负，从而其期权调整差额(OAS)大于零波动差额。这也就是说，与不包含嵌入期权的债券相比，投资者会对此类债券要求较低的收益率，以其享有的相关期权作为补偿。4.The option adjusted spread (OAS) is best described as the:（分数：1.00）A.Z-spread minus the option
46、 cost. B.Z-spread plus the cost of the option.C.value of the security“s embedded option.解析：解析 由式(零波动差额-期权调整差额(OAS)=期权成本)可知，期权调整差额(OAS)等于零波动差额与期权成本之差。5.The 3-year spot rate is 8.7%, and the 2-year spot rate is 9.2%. What is the 1-year forward rate two years form present?（分数：1.00）A.5.8%B.7.2%C.7.7% 解析
47、：解析 (1+8.7%) 3 =(1+9.2%) 2 (1+ 1 f 2 ) 解得 2年后的一年期远期利率 1 f 2 =7.7%。6.An investor accumulated the following financial data: current 1-year rate =4.8% 1 f 1 =6.3% 1 f 2 =7.5% Using annual compounding, the value of a 3-year, zero-coupon, $1000 par value bond would be:（分数：1.00）A.$792.B.$835. C.$1086.解析：解
48、析 7.Relative to the duration/convexity approach, a shortcoming of the full value approach to measuring the interest rate risk of a bond portfolio is that is that it:（分数：1.00）A.is relatively time consuming. B.cannot be used for stress testing.C.ignores the impact of embedded options.解析：解析 债券利率风险的全面定价
49、法基于收益率曲线的变动，通过我们之前所讲的定价方法对债券进行定价。对于不包含期权的债券来讲，其定价方法比较简单，例如，收益率增加 30个基点对其价值的影响。在较为复杂的场合下，仍可以应用这一方法，如向右上方倾斜的债券收益率曲线，即长期利率的增长幅度大于短期利率增长幅度的情况。在债券定价模型有效的前提下，我们只需将基于相关模型得出的利率加到原先的利率水平上，即可得出债券的价值。此外，该方法还可以应用在债券组合中，通过对债券组合中的各个债券逐一进行分析，我们可以确定利率变动对债券组合价值的影响。 债券利率风险的久期凸度分析法提供了债券或债券组合的实际利率的估计值。与全面定价法相比，该方法的主要优势在于其分析方法的简便性。特别是对于包含可赎回债券的债券组合来讲，全面分析法将耗费大量的时间并显得过于复杂，从而久期凸度分析法更适合于相关分析。因此，本题的正确选项为 A。8.A 12% semiannual-pay coupon bond has 1.5 years to maturity. The bond is currently trading at par. Using a 100 basis point change in yield, what is t
