超星 - 作业三（最新）

单选题

The compounding frequency for an interest rate defines

A. The frequency with which interest is paid
B. A unit of measurement for the interest rate
C. The relationship between the annual interest rate and the monthly interest rate
D. None of the above

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单选题

An interest rate is 6% per annum with annual compounding. What is the equivalent rate with continuous compounding?

A. 5.79%
B. 6.21%
C. 5.83%
D. 6.18%

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单选题

An interest rate is 5% per annum with continuous compounding. What is the equivalent rate with semiannual compounding?

A. 5.06%
B. 5.03%
C. 4.97%
D. 4.94%

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单选题

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.

A. 6.75%
B. 7.0%
C. 7.25%
D. 7.5%

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单选题

Under liquidity preference theory, which of the following is always true?

A. The forward rate is higher than the spot rate when both have the same maturity.
B. Forward rates are unbiased predictors of expected future spot rates.
C. The spot rate for a certain maturity is higher than the par yield for that maturity.
D. Forward rates are higher than expected future spot rates.

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单选题

Which of the following is true of the fed funds rate

A. It is the same as the Treasury rate
B. It is an overnight interbank rate
C. It is a rate for which collateral is posted
D. It is a type of repo rate

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单选题

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?

A. Increase of $2,500
B. Decrease of $2,500
C. Increase of $25,000
Decrease of $25,000

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单选题

Which of the following is true of LIBOR

A. The LIBOR rate is free of credit risk
B. A LIBOR rate is lower than the Treasury rate when the two have the same maturity
C. It is a rate used when borrowing and lending takes place between banks
D. It is subject to favorable tax treatment in the U.S.

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