如果你不仅想要省一笔钱，还想要早些备考，那还等什么，快报名吧！【资料下载】点击下载[Kaplan]FRM 2020 SchweserNotes Part
1. Consider a convertible bond that is trading at a conversion premium of 20
percent. If the value of the underlying stock rises by 25 percent, the value of
the bond will:
A. Rise by less than 25%.
B. Rise by 25%.
C. Rise by more than 25%.
D. Remain unchanged.
2. If a cash flow of $10,000 in two years' time has a PV of $8,455, the
annual percentage rate, assuming continuous compounding is CLOSEST to:
1. Correct answer: A
The convertible bond implicitly gives bondholders a call option on the
underlying stock. The delta of this option will vary between 0 (when the option
is extremely out of the money) and 1 (when the option is extremely in the
money). In this case, the bond is trading at a conversion premium of 20% so the
delta must be somewhere between zero and one, and hence the price of the
convertible bond will rise by less than the price of the underlying stock.
2. Correct answer: B
Continuously compounded rate = ln(FV/PV)/N = ln(10000 / 8455) / 2 =