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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：
/ F& F9 Q4 |% Q3 C1 AA. 3.85% * G( T: n: g! v/ W/ P/ ` b
B. 7.69%
* @0 y' Q9 V. x9 {2 R4 [4 h3 ~0 bC. 7.84%
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答案和详解，登录后回复可见：
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7. The U.S. Treasury spot rates are provided in the following table：
9 R8 k8 \& [# d, v9 h| 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?
" y# T" r3 A* i$ m. I- _A. $100.61
5 ~5 T% z' o2 g% p+ nB. $102.96
" D) J5 [" F6 M' m1 s, o2 FC. $98.92
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8. Tina Mo, a fixed income analyst, is asked to value a single, default-free cash flow of $60,000. She is given the information in the following table：
^1 y7 m$ I) i C2 X1 ?| 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% |
: ]5 w6 S# D# x5 }0 n* P& ZThe value of this single cash flow at the end of Period 4 is closest to:
+ ?. S' H/ i' c, \# s, dA. $56,427 4 p) ^8 _9 a& \0 m( J8 I
B. $56,309 + Z* F" f; y( [
C. $56,276 + s+ M: \" c2 L8 G! S# r. E/ N0 s: `$ [
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) P+ o/ z }* R$ ]' U9. The zero-volatility spread is a measure of the spread off:：
. S" N3 m; s- Z/ Z: X0 v1 PA. one point on the Treasury yield curve. $ [. k5 ]: H- m) D! P0 k+ t
B. all points on the Treasury yield curve.
* I a# e) X8 p6 S; ~! ~C. all points on the Treasury spot curve.
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( x5 t: _* a5 |* q3 l10. The U.S. Treasury spot rates are provided in the following table：# P: L7 e3 x; C, [1 i0 r X1 N6 E
| 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:
6 g4 p# i% O5 ^% f1 C' w2 Z. F+ _A. 1.50%.
2 v# Y7 n2 m. f8 z, Y: W7 eB. 1.67%. / K: \+ \: X2 A8 p- [# {
C. 1.76%.
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发表于 2017-9-3 15:17:23
