FRM二级FRM二级习题集

1.Which of the following statements is (are) correct regarding the pricing of fixed- income securities?

1. The put price serves as the floor value for a puttable bond when interest rates rise.
2. The more frequent the time steps used for projected fixed-income security values, the more accurate the pricing.
3. The Black-Scholes-Merton model is preferred for the pricing of fixed income securities because of its continuous time assumption.

1. II only.
2. I and II only.
3. I and III only.
4. I, II, and III.

2.An investor expects the current 1-year rate for a zero-coupon bond to remain at 6%, the 1-year rate next year to be 8%, and the 1-year rate in two years to be 10%. What is the 3-year spot rate for a zero-coupon bond with a face value of $1, assuming all investors have the same expectations of future 1-year rates for zero-coupon bonds?

1. 7.888%
2. 7.988%
3. 8.000%
4. 8.088%