MCQ Quiz

Question 1 of 21

Which formula most accurately gives the Macaulay duration of a perpetual bond?

$MacDur = \dfrac{r}{1 + r}$
$MacDur = \dfrac{1 + r}{r}$
$MacDur = \dfrac{1}{r}$

Question 2 of 21

Which formula most accurately expresses modified duration in terms of Macaulay duration?

$ModDur = \dfrac{MacDur}{1 + r}$
$ModDur = MacDur \times (1 + r)$
$ModDur = \dfrac{1 + r}{MacDur}$

Question 3 of 21

Which formula most accurately gives the approximate annualized modified duration using bond prices at shifted yields?

$AnnModDur \approx \dfrac{PV_{+} - PV_{-}}{2 \times \Delta Yield \times PV_0}$
$AnnModDur \approx \dfrac{PV_{-} - PV_{+}}{\Delta Yield \times PV_0}$
$AnnModDur \approx \dfrac{PV_{-} - PV_{+}}{2 \times \Delta Yield \times PV_0}$

Question 4 of 21

A bond's money duration is 380 per 100 of par. If yields rise by 50 bps, the estimated change in price per 100 of par is closest to:

+1.90
-19.00
-1.90

Question 5 of 21

A bond has a Macaulay duration of 5.25 and a yield per period of 5%. Its modified duration is closest to:

5.5125
5.000
5.250

Question 6 of 21

Which formula most accurately gives the approximate Macaulay duration from approximate modified duration?

$AnnMacDur \approx AnnModDur \times (1 + r)$
$AnnMacDur \approx \dfrac{AnnModDur}{1 + r}$
$AnnMacDur \approx AnnModDur - r$

Question 7 of 21

Which formula most accurately gives the Macaulay duration of a floating-rate note?

$MacDur_{Floating} = \dfrac{T - t}{T}$
$MacDur_{Floating} = \dfrac{t}{T}$
$MacDur_{Floating} = T - t$

Question 8 of 21

Which formula most accurately defines money duration?

$MoneyDur = \dfrac{AnnModDur}{PV^{Full}}$
$MoneyDur = AnnModDur + PV^{Full}$
$MoneyDur = AnnModDur \times PV^{Full}$

Question 9 of 21

A zero-coupon bond matures in 5.25 years and is priced to yield 5% annually. Its modified duration is closest to:

5.5125
5.000
5.250

Question 10 of 21

A bond has an annualized modified duration of 4 and its full price falls by approximately 2% when yields change. The yield change is closest to:

50 bps increase
200 bps increase
20 bps increase

Question 11 of 21

A semiannual coupon bond has a Macaulay duration of 10 periods and a yield-to-maturity of 0%. Its annualized modified duration is closest to:

10.000
20.000
5.000

Question 12 of 21

A bond has an annualized modified duration of 4 and a full price of 95 per 100 of par value. Its money duration is closest to:

23.75
380
99

Question 13 of 21

A perpetual bond is priced to yield 4%. Its Macaulay duration is closest to:

25.0
4.0
26.0

Question 14 of 21

Which formula most accurately estimates the change in a bond's full price in currency units?

$\Delta PV^{Full} \approx MoneyDur \times \Delta Yield$
$\Delta PV^{Full} \approx -MoneyDur \div \Delta Yield$
$\Delta PV^{Full} \approx -MoneyDur \times \Delta Yield$

Question 15 of 21

A floating-rate note has 180 days in the coupon period and 60 days have passed since the last reset. Its Macaulay duration is closest to:

0.333
0.667
120.000

Question 16 of 21

A bond has an annualized modified duration of 5. If yields increase by 50 bps, the estimated percentage price change is closest to:

+2.50%
-2.50%
-0.25%

Question 17 of 21

A bond's full price is 100, $PV_{+} = 99.00$ at a yield 10 bps higher, and $PV_{-} = 101.00$ at a yield 10 bps lower. The approximate annualized modified duration is closest to:

10
20
1

Question 18 of 21

Which formula most accurately gives the price value of a basis point (PVBP)?

$PVBP = \dfrac{PV_{-} - PV_{+}}{2}$
$PVBP = \dfrac{PV_{+} - PV_{-}}{2}$
$PVBP = PV_{-} - PV_{+}$

Question 19 of 21

Which formula most accurately estimates the percentage change in a bond's full price for a change in yield?

$\%\Delta PV^{Full} \approx AnnModDur \times \Delta AnnYield$
$\%\Delta PV^{Full} \approx -AnnModDur \times \Delta AnnYield$
$\%\Delta PV^{Full} \approx -AnnModDur \div \Delta AnnYield$

Question 20 of 21

A bond's full price at a yield 1 bp lower is 100.55 and at a yield 1 bp higher is 100.46. The PVBP is closest to:

0.045
0.090
0.0045

Question 21 of 21

If a bond's modified duration is 6 and its yield per period is 5%, the Macaulay duration is closest to:

5.714
6.000
6.300

Yeild Based Duration Measures and Properties (Katas)

First Principles Thinking: Perpetuity Duration

First Principles Thinking: Modified Duration Formula

First Principles Thinking: Approximate ModDur Formula

First Principles Thinking: Applying Money Duration

First Principles Thinking: ModDur Substitution

First Principles Thinking: MacDur from ModDur

First Principles Thinking: FRN Duration Formula

First Principles Thinking: Money Duration Formula

First Principles Thinking: Zero-Coupon Bond Duration

First Principles Thinking: Rearranging %ΔPV Formula

First Principles Thinking: Annualizing Modified Duration

First Principles Thinking: Money Duration Calculation

First Principles Thinking: Perpetuity Duration Calculation

First Principles Thinking: Currency Price Change Formula

First Principles Thinking: FRN Duration Calculation

First Principles Thinking: Applying the %ΔPV Formula

First Principles Thinking: Applying Approximate ModDur

First Principles Thinking: PVBP Formula

First Principles Thinking: Price-Yield Sensitivity

First Principles Thinking: PVBP Calculation

First Principles Thinking: Rearranging ModDur Formula