［2008］Topic 27: Generalizations and Curve Fitting相关习题

Baran

AIM 1: Compute the accrued interest and invoice price on a coupon bond.

 

1、Suppose a bond’s quoted price is 105 7/32 and the accrued interest is $23.54. If the bond has a par value of $1,000, what is the bond’s flat price?

A) $1,000.00.
 
B) $1,023.54.
 
C) $1,075.73.
 
D) $1,052.19.
 

kana

顶

Baran

3、The effective annual yield (EAY) of a loan with a quoted rate of 8%, compounded quarterly is equivalent to the EAY of a loan with a continuously compounded quoted rate of:

A) 8.16%.
 
B) 8.08%.
 
C) 7.92%.
 
D) 8.24%.

Baran

The correct answer is C

For the quarterly compounded loan, EAY = (1 + (0.08 / 4))4 ? 1 = 0.824. For the continuously compounded loan, we want to find the value of r that solves 1.0824 = er(1). r = ln(1.0824) = 0.0792.

Baran

AIM 4: Explain and apply the linear yield interpolation and piecewise cubic methods for estimating complete discount functions.

1、A method for interpolating discount rates between known instruments that smoothes curves and avoids discontinuities is known as:

A) cubic linear approximation. 
 
B) cubic spline approximation. 
 
C) convexity approximation.
 
D) concavity approximation.

Baran

The correct answer is B

Piecewise cubic spline functions are used to interpolate discount rate curves between existing securities.

 

Baran

The correct answer is B

First, we need to calculate the periodic rate, or 0.09 / 2 = 0.045.
Then, the effective semi-annual rate = (1 + 0.045)2 ? 1 = 0.09203, or 9.20%.

Baran

The quarterly effective rate is:
A) 9.31%.
 
B) 9.00%.
 
C) 9.20%.
 
D) 9.40%. 
 

Baran

 The correct answer is A

First, we need to calculate the periodic rate, or 0.09 / 4 = 0.0225.
Then, the effective annual rate = (1 + 0.0225)4 ? 1 = 0.09308, or 9.31%.

Baran

The continuously compounded rate is:
A) 9.42%.
 
B) 9.20%.
 
C) 9.45%.
 
D) 9.67%.