FIN 652 - Quiz 6
How much is a basis point? 0.1% 0.01% 0.001% 1.0%
0.01%
Which of the following is closest to the duration of a 2-year bond that pays a coupon of 8% per annum semiannually? The yield on the bond is 10% per annum with continuous compounding. 1.88 1.82 1.92 1.85
1.88
It is May 1. The quoted price of a bond with an Actual/Actual (in period) day count and 12% per annum coupon (paid semiannually) in the United States is 105. It has a face value of 100 and pays coupons on April 1 and October 1. What is the cash price? (There are 30 actual days between April 1 and May 1 and 183 actual days between April 1 and October 1.) 105.98 106.02 106.04 106.00
105.98
It is May 1. The quoted price of a bond with a 30/360 day count and 12% per annum coupon in the United States is 105. It has a face value of 100 and pays coupons on April 1 and October 1. What is the cash price? 106.00 106.04 106.02 105.98
106.00
Which of following is applicable to corporate bonds in the United States? Actual/Actual Actual/365 30/360 Actual/360
30/360
A trader enters into a long position in one Eurodollar futures contract. How much does the trader gain when the futures price quote increases by 6 basis points? $60 $150 $600 $6
6 x $25 = $150
If for a 91-day T-bill, the cash price were 98, what would be the quoted price? 8 98 7.91 10
7.91
Which of the following day count conventions applies to a US Treasury bond? 30/360 Actual/360 Actual/365 Actual/Actual (in period)
Actual/Actual (in period)
The most recent settlement bond futures price is 103.5. Which of the following four bonds is cheapest to deliver? Quoted bond price = 143; conversion factor = 1.3500. Quoted bond price = 110; conversion factor = 1.0400. Quoted bond price = 131; conversion factor = 1.2500. Quoted bond price = 160; conversion factor = 1.5200.
Quoted bond price = 131; conversion factor = 1.2500
Duration matching immunizes a portfolio against: Changes in the steepness of the yield curve Any parallel shift in the yield curve Small parallel shifts in the yield curve All shifts in the yield curve
Small parallel shifts in the yield curve
