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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：+ U; g( [2 _. n. F$ | q& C( ]8 b
A. 3.85%
: J; k5 m6 b' t' V- t) pB. 7.69% 3 c6 u e: K# `( D
C. 7.84%
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% J( l2 H! P( w# V( s7. The U.S. Treasury spot rates are provided in the following table：5 j! R6 ?" r9 y- S3 L
| 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?
# U0 a; \$ }2 I z/ l/ {A. $100.61
1 r' n* D0 F" V9 h8 T8 pB. $102.96 % {; ~. C1 A1 k) L, v) z, B
C. $98.92 ( w1 m% R: ]4 m( `1 d1 Y
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, D- V& _5 M8 j8. Tina Mo, a fixed income analyst, is asked to value a single, default-free cash flow of $60,000. She is given the information in the following table：3 ^# \+ h6 ^6 I/ K+ `2 s, J
| Period | Years | Annual Par Yield to Maturity BEY | Theoretical Spot Rate BEY | 6-month Forward Rates BEY | | 1 | 0.5 | 2.00% | 2.00% | 2.00% | | 2 | 1.0 | 2.40% | 2.40% | 2.71% | | 3 | 1.5 | 2.70% | 2.71% | 3.12% | | 4 | 2.0 | 3.20% | 3.23% | 4.55% |
" J: U# o9 X0 n8 ~1 CThe value of this single cash flow at the end of Period 4 is closest to:
# D7 F$ k, l3 t" e- kA. $56,427 3 @& ^ y& r3 Z2 K' M
B. $56,309 & E9 X$ F8 p: P& J D: N' {# w. c
C. $56,276 4 Y5 b( @. U+ L) D: r6 L/ t0 m
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$ b) B9 _8 f! h7 ^8 M9. The zero-volatility spread is a measure of the spread off:：0 x; c8 k, k/ M4 q
A. one point on the Treasury yield curve.
2 z e) `3 d; N- p) u0 BB. all points on the Treasury yield curve. 1 ?) y: o) A1 ~- H1 C* H
C. all points on the Treasury spot curve.% Q/ I/ \% X% Z/ S+ D$ u' n. k
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7 ^; f6 b, t0 f2 q+ K10. The U.S. Treasury spot rates are provided in the following table：# T3 \; Z t# M: W/ `& ~: n
| 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 $89.464. Given the YTM of a 3-year Treasury is 12%, the Z- spread of the corporate bond is closest to: 1 K7 b; y0 v3 \0 l* ^6 {" l
A. 1.50%.
+ B7 R S. d; B& G' bB. 1.67%. ! }% B9 p$ b$ Q7 H
C. 1.76%.
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发表于 2016-1-7 09:11:45
发表于 2017-9-3 15:17:23
