"Fixed Income":Calculate the equivalent yield of bonds

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來(lái)源: 正保會(huì)計(jì)網(wǎng)校編輯：小鞠橘桔 2020/11/04 09:58:20　字體：大小

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Questions 1:

Which of the following 90-day money market instruments most likely offers the investor the highest rate of return?

Fixed Income:Calculate the equivalent yield of bonds

A 、Instrument A

B、 Instrument C

C 、Instrument B

Questions 2:

Assume the following annual forward rates were calculated from the yield curve.

Fixed Income:Calculate the equivalent yield of bonds

The four-year spot rate is closest to:

A 、0.924%.

B 、1.348%.

C 、1.178%.

View answer resolution

【Answer to question 1】B

【analysis】

B is correct. Instrument C provides a bond equivalent yield of 5.96%, compared with 5.946% for Instrument A and 5.883% for Instrument B.

A is incorrect. To calculate the bond equivalent yield:

FV = 100, Days = 90, Year = 360, DR = 0.0578.

PV = 100 × [1 – (90/360) × 0.0578] = 98.555 AOR = (365/90) × [(100 – 98.555)/98.555] = 5.946%

C is incorrect. To calculate the bond equivalent yield:

FV = 100, Days = 90, Year = 365, DR = 0.058.

PV = 100 × [1 – (90/365) × 0.058] = 98.570 AOR = (365/90) × [(100 – 98.570)/98.5705] = 5.883%

【Answer to question 2】A

【analysis】

A is correct. The four-year spot rate can be computed as:

Fixed Income:Calculate the equivalent yield of bonds

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