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6. The yield of a 3-year bond issue quoted on an annual-pay basis is 7.84%. The yield-to-maturity on a bond-equivalent basis is closest to：* R9 Y4 q2 A0 c; g1 i) t+ l+ Z
A. 3.85% / ?. }2 b @& u' @9 I" k2 S
B. 7.69%
' w U! I) \! n" g/ I# aC. 7.84% - ?$ B, H. F9 e8 V1 S' ]3 U
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答案和详解，登录后回复可见：4 J2 M. |! K! ^4 F7 K8 Q0 d
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7. The U.S. Treasury spot rates are provided in the following table：
* m# M: j; n0 O| Period | Years | Spot Rate | | 1 | 0.5 | 2.20% | | 2 | 1.0 | 2.50% | | 3 | 1.5 | 2.70% | | 4 | 2.0 | 3.20% |
Given a consistent corporate spread of 0.50%, what will be the most likely price of a 4% coupon corporate bond with 2 years to maturity? ) F$ b1 }, q4 E! ?3 h
A. $100.61
3 r0 m8 d% A& RB. $102.96
9 S1 n; t3 ?2 @6 V2 vC. $98.92 & y( A& V7 a; j4 O4 T
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0 e) p; w, E; R/ O7 A8. Tina Mo, a fixed income analyst, is asked to value a single, default-free cash flow of $60,000. She is given the information in the following table：9 v- B: J: Z& d7 R8 W
| Period | Years | Annual Par Yield to Maturity BEY | Theoretical Spot Rate BEY | 6-month Forward Rates BEY | | 1 | 0.5 | 2.00% | 2.00% | 2.00% | | 2 | 1.0 | 2.40% | 2.40% | 2.71% | | 3 | 1.5 | 2.70% | 2.71% | 3.12% | | 4 | 2.0 | 3.20% | 3.23% | 4.55% |
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The value of this single cash flow at the end of Period 4 is closest to: . d; c/ f# [( ?! @
A. $56,427
& J$ L l0 s9 ~6 I0 G+ `B. $56,309 , l+ r5 _, b: ?" Z) T; s4 R
C. $56,276 % e. ]9 P% I! @9 I: E1 b
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6 Z; k) i% k- I _4 a1 M* v+ q9. The zero-volatility spread is a measure of the spread off:：
+ y" V/ s5 B8 H1 MA. one point on the Treasury yield curve.
6 V" g' W9 _) O6 q* t8 bB. all points on the Treasury yield curve.
% m( Y2 g% |& V" A$ t+ CC. all points on the Treasury spot curve.
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10. The U.S. Treasury spot rates are provided in the following table：
& Z2 [1 I/ I' Q7 v3 O9 F/ x| Period | Years | Spot Rate | | 1 | 1 | 4.000% | | 2 | 2 | 8.167% | | 3 | 3 | 12.3.77% |
Consider a 3-year, 9% annual coupon corporate bond currently trading at $89.464. Given the YTM of a 3-year Treasury is 12%, the Z- spread of the corporate bond is closest to: ' |8 G" J( f! h' s6 j
A. 1.50%. ( P- ~7 D, d9 C, @7 K9 b9 {
B. 1.67%.
3 A: ^0 j7 K% `( |9 G( ]3 P( B+ yC. 1.76%.1 f1 P2 C4 O' l! K7 [6 W- [# W
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发表于 2016-1-7 09:11:45
发表于 2017-9-3 15:17:23
