[OFOD10e04] Interest Rates

* 基本信息:
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*1.
The compounding frequency for an interest rate defines
*2.
An interest rate is 6% per annum with annual compounding. What is the equivalent rate with continuous compounding?
*3.
An interest rate is 5% per annum with continuous compounding. What is the equivalent rate with semiannual compounding?
*4.
An interest rate is 12% per annum with semiannual compounding. What is the equivalent rate with quarterly compounding?
*5.
The two-year zero rate is 6% and the three year zero rate is 6.5%. What is the forward rate for the third year? All rates are continuously compounded.
*6.
The six-month zero rate is 8% per annum with semiannual compounding. The price of a one-year bond that provides a coupon of 6% per annum semiannually is 97. What is the one-year continuously compounded zero rate?
*7.
The yield curve is flat at 6% per annum. What is the value of an FRA where the holder receives interest at the rate of 8% per annum for a six-month period on a principal of $1,000 starting in two years? All rates are compounded semiannually.
*8.
Under liquidity preference theory, which of the following is always true?
*9.
The zero curve is upward sloping. Define X as the 1-year par yield, Y as the 1-year zero rate and Z as the forward rate for the period between 1 and 1.5 year. Which of the following is true?
*10.
Which of the following is true of the fed funds rate
*11.
The modified duration of a bond portfolio worth $1 million is 5 years. By approximately how much does the value of the portfolio change if all yields increase by 5 basis points?
*12.
A company invests $1,000 in a five-year zero-coupon bond and $4,000 in a ten-year zero-coupon bond. What is the duration of the portfolio?
*13.
Which of the following is true of LIBOR
*14.
Which of following describes forward rates?
*15.
Which of the following is NOT a theory of the term structure
*16.
A repo rate is
*17.
Bootstrapping involves
*18.
The zero curve is downward sloping. Define X as the 1-year par yield, Y as the 1-year zero rate and Z as the forward rate for the period between 1 and 1.5 year. Which of the following is true?
*19.
Which of the following is true?
*20.
The six month and one-year rates are 3% and 4% per annum with semiannual compounding. Which of the following is closest to the one-year par yield expressed with semiannual compounding?
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