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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?
A 、Instrument A
B、 Instrument C
C 、Instrument B
Questions 2:
Assume the following annual forward rates were calculated from the yield curve.
The four-year spot rate is closest to:
A 、0.924%.
B 、1.348%.
C 、1.178%.
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%
A is correct. The four-year spot rate can be computed as:
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