CFA一级每日一练(含详细解析)36

CFA一级每日一练（含详细解析）36

1、The return on a commodity index is likely to be different from returns on the underlying commodities because:【单选题】

A.assets are not marked to market.

B.data are subject to survivorship bias.

C.indices are constructed using futures contracts.

正确答案:C

答案解析:“Introduction to Alternative Investments,” Terri Duhon, George Spentzos, CFA, and Scott D. Stewart, CFA

2013 Modular Level I, Vol. 6, Reading 66, Section 6.1

Study Session 18-66-e

Describe issues in valuing, and calculating returns on, hedge funds, private equity, real estate, and commodities.

C is correct. Since commodity indices are constructed using commodity futures and

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not the underlying commodities there can be differences between commodity index returns and the returns of the underlying commodities.

2、The bonds of Whakatane and Co. are priced for settlement on 15 July 2014 and have the following features.

On the basis of this information, the difference between the full and flat prices is closest to:【单选题】

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A.1.333.

B.2.667.

C.0.917.

正确答案:A

答案解析:The difference between the full and flat prices is the accrued interest, which is computed as follows. Based on the Actual/Actual day convention, the number of days between the coupon periods is 183 days. Also, using the Actual/Actual day count convention, the number of days between 15 May 2014 and 15 July 2014 is 16 days remaining in May + 30 days in June + 15 days in July = 61 days. Accrued interest (per $100 par value) = (61/183)(8.00/2) = 1.333.

2014 CFA Level I

\"Introduction to Fixed-Income Valuation,\" by James F. Adams and Donald J. Smith

Section 3.1

3、A company borrows €15 million from a bank for 1 year at a rate of LIBOR, currently 4.75%, plus 50 basis points. At the same time, the company enters a 1-year, plain vanilla interest rate swap to pay the fixed rate of 5.25% and receive LIBOR. Payments are made

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on the basis of 180 days in the settlement period. Floating payments are made on the basis of 360 days in a year while fixed payments are made on the basis of 365 days in a year. LIBOR is 5.00% on the first settlement date. The company’s total interest expense for the loan and swap for the first settlement period is closest to:【单选题】

A.€388,400.

B.€425,900.

C.€444,600.

正确答案:B

答案解析:“Swap Markets and Contracts,” Don M. Chance

2010 Modular Level I, Vol. 6, pp.140-144

Study Session 17-71-b

Define, calculate, and interpret the payment of currency swaps, plain vanilla interest rate swaps, and equity swaps.

The company pays the swap dealer the fixed rate of 5.25%, pays the bank Libor of 4.75% (as set at the beginning of the period) plus .50% and receives Libor of 4.75% from

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the swap dealer.

Fixed payment: (15,000,000)(.0525)(180/365) = 388,356

Floating payment: (15,000,000)(.0475+.005-.0475)(180/360) = 37,500

Net interest expense: 425,856

4、An analyst does research about securitiesmarket indices.Which of the followingstatements is least accurate to make a price-weighted index biased?【单选题】

A.A stock has a high price.

B.A stock splits frequently.

C.A stock has a large market capitalization.

正确答案:C

答案解析:价格权重指数主要的偏差源于价格高的股票在指数中的权重较大。市值权重指数主要的偏差源于市值越大的股票在指数中的权重越高。股票拆分会增加股票数量，但由于市值不变，故并不会影响市值权重指数。股票拆分虽然会向下调整指数的除数，以保持拆分前后股票指数一致，但随着股票价格的下降，会降低该股票在指数中的权重，从而会产生偏差。

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5、Eldora Ltd. recently issued deferred-coupon bonds for which no coupon payments will be paid in the first two years of the bond's life. Regular annual coupon payments at a rate of 9% will then be made until the bonds mature at the end of six years. The spot rates for various maturities are given in the following table.

On the basis of these spot rates, the price of the bond today is closest to:【单选题】

A.100.12.

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B.108.20.

C.116.24.

正确答案:A

答案解析:The bond price is computed as:

2014 CFA Level I

\"Introduction to Fixed-Income Valuation,\" by James F. Adams and Donald J. Smith

Section 2.4

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