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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：
+ a/ H$ l& w0 k4 m% m( a& aA. 3.85% 0 o: l4 x# c( l: h% u
B. 7.69% / a* _/ ]' r2 K& K6 N) p6 _+ `: X
C. 7.84% : E# x1 Q2 o$ E0 A' r3 @3 e( l* E
7 J: v4 k9 G( F答案和详解，登录后回复可见：7 A) j! q$ C( b
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7. The U.S. Treasury spot rates are provided in the following table：( I6 Z# W4 k( H/ E4 H) l( y# f2 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?
7 H- B0 |) F+ v$ r( bA. $100.61
( g: ? m4 u$ g5 mB. $102.96 2 |0 p0 J* _8 N# d' k; A$ G
C. $98.92
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! o# @: N/ I; Z2 b8 ]5 G' b8. 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：
Y" a7 N+ x6 \/ ?( Q| 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% |
# D, N0 b, x, o. XThe value of this single cash flow at the end of Period 4 is closest to: / P' l! C/ t8 a8 B& T3 f0 r3 k- k9 s
A. $56,427
& p5 u. [6 L1 c# hB. $56,309 ' f: v6 E8 `/ J, ~( S/ C: @6 g; Y6 I! S; [
C. $56,276 2 j- ]4 n- y- v C& H) C, C
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4 W, `5 E, [4 A2 y/ s9. The zero-volatility spread is a measure of the spread off:：
2 N! l& f: n: ~! [( CA. one point on the Treasury yield curve.
6 v; \: g' i2 Y2 ]* P# _B. all points on the Treasury yield curve.
+ k# {( F3 j' V# _) y3 tC. all points on the Treasury spot curve.' a" c; N# y7 v, H7 K
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10. The U.S. Treasury spot rates are provided in the following table：
7 W, n7 u9 P; I" r; Z0 m| 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 $89.464. Given the YTM of a 3-year Treasury is 12%, the Z- spread of the corporate bond is closest to: + ^7 W, ]9 k q7 t2 ]
A. 1.50%.
& @+ l: U/ ^4 j1 A$ jB. 1.67%. * C3 s. S8 S3 r' j
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
