備考CFA考試，刷題練習不能少。2022年CFA考試《CFA二級》考試共240題，分為單選題。以下是幫考網精心為您準備的Fixed Income (1)5道練習題，附答案解析，供您備考練習。

1、Under the option analogy of the structural model, owning a company///\'s debt is economically equivalent to owning a riskless bond ａｎｄ　simultaneously:【單選題】

A.buying an American put option on the assets of the company.

B.selling a European put option on the assets of the company.

C.buying a European put option on the assets of the company.

正確答案:B

答案解析:Under the structural model/////\'s debt option analogy, owning a company///\'s debt is economically equivalent to owning a riskless bond that pays K dollars at time T, plus simultaneously selling a European put option on the assets of the company with maturity T ａｎｄ　strike price K.

2、Based on the given Z-spreads fｏｒBonds 1, 2, ａｎｄ　3, which bond has the greatest credit ａｎｄ　liquidity risk?【單選題】

A.Bond 1

B.Bond 2

C.Bond 3

正確答案:C

答案解析:C is correct. Although swap spreads provide a convenient way to measure risk, a more accurate measure of credit ａｎｄ　liquidity risk is called the zero-spread (Z-spread). It is the constant spread that, added to the implied spot yield curve, makes the discounted cash flows of a bond equal to its current market price. Bonds 1, 2, ａｎｄ　3 are otherwise similar but have Z-spreads of 0.55%, 1.52%, ａｎｄ　1.76%, respectively. Bond 3 has the highest Z-spread, implying that this bond has the greatest credit ａｎｄ　liquidity risk.

3、Is Madison correct in describing key differences in equilibrium ａｎｄ　arbitrage-free models as they relate to the number of parameters ａｎｄ　model accuracy?【單選題】

A.Yes.

B.No, she is incorrect about which type of model requires fewer parameter estimates.

C.No, she is incorrect about which type of model is more precise at modeling market yield curves.

正確答案:A

答案解析:A is correct. Consistent with Madison’s statement, equilibrium term structure models require fewer parameters to be estimated relative to arbitrage-free models, ａｎｄ　arbitrage-free models allow fｏｒtime-varying parameters. Consequently, arbitrage-free models can model the market yield curve more precisely than equilibrium models.

4、Tyo’s assistant should calculate a forward rate closest to:【單選題】

A.9.07%.

B.9.58%.

C.9.97%.

正確答案:A

答案解析:A is correct. From the forward rate model, f(3,2), is found as follows:[1 + r(5)]5 = [1 + r(3)]3[1 + f(3,2)]2Using the three-year ａｎｄ　five-year spot rates, we find(1 + 0.107)5 = (1 + 0.118)3[1 + f(3,2)]2, so

5、Based on Exhibit 1, the best action that an investｏｒshould take to profit from the arbitrage opportunity is to:【單選題】

A.buy on Frankfurt, sell on Eurex.

B.buy on NYSE Euronext, sell on Eurex.

C.buy on Frankfurt, sell on NYSE Euronext.

正確答案:A

答案解析:A is correct. This is the same bond being sold at three different prices so an arbitrage opportunity exists by buying the bond from the exchange where it is priced lowest ａｎｄ　immediately selling it on the exchange that has the highest price. Accordingly, an investｏｒwould maximize profit from the arbitrage opportunity by buying the bond on the Frankfurt exchange (which has the lowest price of €103.7565) ａｎｄ　selling it on the Eurex exchange (which has the highest price of €103.7956) to generate a risk-free profit of €0.0391 (as mentioned, ignoring transaction costs) per €100 par.B is incorrect because buying on NYSE Euronext ａｎｄ　selling on Eurex would result in an €0.0141 profit per €100 par (€103.7956 – €103.7815 = €0.0141), which is not the maximum arbitrage profit available. A greater profit would be realized if the bond were purchased in Frankfurt ａｎｄ　sold on Eurex.C is incorrect because buying on Frankfurt ａｎｄ　selling on NYSE Euronext would result in an €0.0250 profit per €100 par (€103.7815 – €103.7565 = €0.0250). A greater profit would be realized if the bond were purchased in Frankfurt ａｎｄ　sold on Eurex.

希望以上練習題對您的復習有所幫助，幫考網祝您考試成功!