Examen 2. Etapa 2 Fixed Income

If a floating-rate note trades exactly at par on a reset date, its discount margin is most likely:

The Macaulay duration of a floating-rate note is most likely approximated by:

The par rate for a given maturity is most accurately:

The annual spot rates are: 1-year, 2.0%; 2-year, 3.5%. The 1-year forward rate 1 year from now (1y1y) is approximately:

The ‘riding the yield curve’ (rolldown) strategy is most likely attractive when the yield curve:

If the investment horizon is SHORTER than the bond’s Macaulay duration, given a single change in rates the dominant risk is most likely:

For an investor holding a coupon bond and reinvesting the coupons, a decline in interest rates most likely:

To immunize a single future liability against changes in rates, a manager should most likely build a portfolio whose:

A bond has a modified duration of 7.00 and a yield-to-maturity of 4% annually with semiannual payments. Its Macaulay duration is approximately:

A bond trades at 100.00. If the yield rises 20 bps, the price falls to 99.00; if the yield falls 20 bps, the price rises to 101.10. The approximate modified duration is approximately:

The money duration of a bond most accurately measures:

A bond has a modified duration of 6.0 and a convexity of 80. If the yield FALLS 150 bps, the estimated percentage change in price (using duration and convexity) is approximately:

Unlike an option-free bond, a callable bond may most likely exhibit:

Empirical duration, relative to analytical (yield-based) duration, is most accurately characterized by:

Effective convexity is especially necessary, relative to analytical convexity, when valuing:

Of the following bonds at the same yield, the one with the GREATEST sensitivity to rates (greatest duration) is most likely:

Bootstrapping is most accurately used to:

Holding coupon and maturity constant, an increase in the yield-to-maturity causes the bond’s duration to most likely:

A portfolio has 70% in a bond with convexity 50 and 30% in another with convexity 120 (market-value weights). The portfolio convexity is approximately:

The horizon yield of a bond held over a specific period is most accurately defined as: