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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：
2 [* f4 O+ g) Z6 OA. 3.85%
$ c0 y# C& D% k$ kB. 7.69%
# C. b: \; X! F6 G0 K' {8 }C. 7.84%
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答案和详解，登录后回复可见：. a$ f9 b# U6 t' T* f" [* ~0 e
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7. The U.S. Treasury spot rates are provided in the following table：+ p; F' _: z1 R* Q5 r
| 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?
% A: |3 | z6 \6 L I$ j! q- lA. $100.61 ! Z8 j! z$ n$ z7 J u2 j/ e0 H
B. $102.96
; s& g, z' u3 Z) d$ _2 QC. $98.92
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! @1 ?# X0 U) i+ H+ v- y8. 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：
& E+ n5 @, I7 s| 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: t( v/ U8 J( w( k8 z
A. $56,427
2 c/ S$ A. A- u0 {5 y- r) yB. $56,309
* _: j7 a H, @4 ^ r: u3 OC. $56,276
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9. The zero-volatility spread is a measure of the spread off:：
" l5 H6 a) Z) r* f5 k, Q fA. one point on the Treasury yield curve. / O- e2 K+ i r) S- u
B. all points on the Treasury yield curve. , D6 M. r i7 K8 M
C. all points on the Treasury spot curve.
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) D. \0 H0 Q& f10. The U.S. Treasury spot rates are provided in the following table：
; }; s# C5 R0 ] l! ]* v* D| 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 $89.464. Given the YTM of a 3-year Treasury is 12%, the Z- spread of the corporate bond is closest to:
+ ~1 ~' T" {: }( |A. 1.50%.
; X# t3 r/ J+ @/ z8 z0 r5 _) J3 x5 JB. 1.67%.
9 R& K t+ c* ?+ ~1 HC. 1.76%.& C3 A# z8 m. J, z1 E$ {
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发表于 2016-1-7 09:11:45
发表于 2017-9-3 15:17:23
