A. 3.9
B. 4.0
C. 5.8
第1题
Amy Lee, a fixed income analyst gathers the following table with the yields and corresponding prices for a hypothetical 10-year option-free bond which initially yields 8%:
Using a 10 basis point rate shock, the duration of this bond is closes to:
A. 8.78
B. 17.56
C. 4.39
第2题
A fixed income security’s current price is 101.65. You estimate that the price will rise to 102.98 ifinterest rates decrease 0.25% and fall to 100.91 if interest rates increase 0.25%. The security’s effective duration is closest to:
A. 3.98
B. 4.07
C. 4.87
第3题
In the classification of currency regimes, a currency board system (CBS) most likely differs from a fixed-rate parity system in that:
A. a CBS has a discretionary target level of foreign exchange reserves.
B. a CBS can peg to a basket of currencies but a fixed-rate system cannot.
C. the monetary authority within a CBS does not act as a traditional lender of last resort.
第4题
The current spot rate for the USD/EUR is 0.7500. The forward rate for the EUR/Australian dollar (AUD) is 1.4300, which represents a 400 point forward premium to the spot rate (scaled up by four decimal place). The USD/AUD spot rate isclosest to:
A.1.0296
B.1.0425
C.1.1154
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