[金融学]杨云红证券投资学习题和答案.doc

1. 给定如下的远期利率(forward rate),计算1年,2年,3年和4年的现货利率(spot rate)
远期时间区间远期利率
%
%
%
%
2. 假设当前的一年现货利率(spot rate)为6%,一年以后及两年以后的远期利率分别为=9%,=10%,一种面值为1000美元,息率(coupon rate)为8%,从现在起三年到期的债券的市场价格是多少?(假设利息按年支付)。
3. The following is a list of prices for zero-coupon bonds of various maturities. Calculate the yields to maturity of each bond and the implied sequence of forward rates.
Maturity (years)
Price of bond($)
1

2

3

4

Assuming that the unbiased expectations theory is valid, compute the expected price path of the four-year bond as time passes. What is the rate of return of the bond in each year? Show that the expected return equals the forward rate for each year?
4. Suppose the following table shows yields to maturity of . Treasury securities as of January 1, 1996:
Term to maturity (years)
Yield to maturity
1
%
2
%
3
%
4
%
5
%
10
%
Based on the data in the table, calculate the implied forward one-year rate of interest at January 1, 1999.
Describe the conditions under which the calculated forward rate would be an unbiased estimate of the one-year spot rate of interest at January 1, 1999.
Assume that one year earlier, at January 1, 1995, the prevailing term structure for . Treasury securities was such that the implied forward one-year rate of interest at January 1, 1999, was significantly higher than the corresponding rate implied by the term structure at January 1, 1996. On the basis of unbiased expectations theory of the term structure, briefly discuss two factors that could account for such a decline in the implied forward.
1. A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long-term government and corporate bond fund, and the third is a T-bill money market fund that yields a rate of 8%. The probability distribution of the risky funds is as follows:
Expected return
Standard deviation
Stock fund (S)
20%
30%
Bond