题目内容

Which of the following approaches in measuring interest rate risk is most accurate when properly performed（）

A. Duration/convexity approach.
B. Full Valuation approach.
C. Duration approach.

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Which of the following bonds has the shortest duration A bond with a:（）

A. 20-year maturity, 6 percent coupon rate.
B. 10-year maturity, 6 percent coupon rate.
C. 10-year maturity, 10 percent coupon rate.

An 11 percent coupon bond with annual payments and 10 years to maturity is callable in 3 years at a call price of $1100. If the bond is selling today for 975, the yield to call is:（）

A. 14.97%.
B. 10.26%.
C. 10.00%.

For a bond currently priced at $1018 with an effective duration of 7.48, if rates moved down 75 basis points, the new price would be approximately:（）

A. $942.
B. $961.
C. $1075.

What is the duration of a floating rate bond that has six years remaining to maturity and has semi-annual coupon payments. Assume a flat-term structure of 6 percent. Which of the following is closest to the correct duration（）

A. 0.500.
B. 6.000.
C. 12.000.