|
|
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：
9 @$ [. K5 \( \A. 3.85%
# B8 [0 X6 B4 m9 m4 n4 j: _# [B. 7.69%
5 Q* {; p% ?. q- p% o: I9 _3 }C. 7.84%
" X$ q9 m; H0 s9 o
, \2 x; L( ^& B8 c X答案和详解，登录后回复可见：/ ]" T7 Z0 I1 b
3 Y/ s4 |4 U9 {, f; ?7 B
& g7 _( T( i6 M1 z: i1 N6 R9 a0 C( N
7 F8 {* u3 I/ b! V" ^8 ]
7. The U.S. Treasury spot rates are provided in the following table：8 d/ m3 q7 | G3 U. Z8 ~9 ?$ a
| 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?
6 L: k7 n& h8 p3 G% h+ n1 y, EA. $100.61
) `& K! K8 L% ^$ t& iB. $102.96
+ \3 v( I5 N T2 [+ VC. $98.92
6 a! n k) H+ z9 Q: h7 n o$ ]& ?) u" c" r
. u, i( R8 r M& i* z2 V. M& d9 ~& f
0 `( p7 p- O- e4 S
$ H: c' D W# ]9 h% B* b9 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：
) I" h1 y. i4 ~0 b& ^( P9 D' l| 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% |
. ^2 h x+ A+ s/ c1 gThe value of this single cash flow at the end of Period 4 is closest to: 8 c- @0 w5 c- f
A. $56,427 0 x$ A- J& p: o+ s
B. $56,309
7 F# i8 N! g" z6 @& FC. $56,276 ( h) W, i0 i' S1 n7 I% a% l3 `
' D$ y4 j; R* h, _' |. k3 T4 n
* S" S2 C9 m# u0 D" r/ e- {
- g1 j' c; h4 Z; l4 m+ _8 n2 |$ q" T3 n
9. The zero-volatility spread is a measure of the spread off:：
2 w# y' B" @% b; r: ZA. one point on the Treasury yield curve.
* W- E; W2 v5 q5 p6 qB. all points on the Treasury yield curve.
! g2 s( M: R! J6 r: qC. all points on the Treasury spot curve.
5 R$ J6 s7 g: ^9 |6 D$ a8 V" ]8 n# d) p2 l0 i9 l* g9 N
$ J% d: R% Q' ^. H* a2 o' i# M% X( p4 h" r0 i w- E2 l
/ A3 h' P! O$ i& b$ q
10. The U.S. Treasury spot rates are provided in the following table：7 X+ [0 D+ {0 d+ 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 $89.464. Given the YTM of a 3-year Treasury is 12%, the Z- spread of the corporate bond is closest to: 4 h9 v ^6 y! F _ [
A. 1.50%. 9 x( @( |! k5 e, ~$ C
B. 1.67%. ; `9 c4 d% H% }7 ~4 N% d5 u, u2 T
C. 1.76%.
$ ?% Q1 i2 u$ Y0 z2 [' n8 @. g! P% M1 W6 ?
. ?0 e9 ~. O9 P0 \. X
0 q, M3 V6 U4 x7 M, c. K% ~
更多CFA习题可关注：高顿CFA题库
! H! D9 W9 N; Y$ ]0 I3 c: c" g+ j: a关注微信CFA-FRM （CFAFighting）CFA考试资讯抢先得
, X+ T& [. r0 S2 C" X- g& Q0 u/ h* `( R) D. E' N. O) x* \
|
|
[复制链接]
发表于 2016-1-7 09:11:45
发表于 2017-9-3 15:17:23
