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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：9 A, i+ F; b: J: b$ ~1 `
A. 3.85%
7 X7 ?1 c6 l) ?" k( T- GB. 7.69% % [* ~) {3 P; J5 A0 n4 z5 y
C. 7.84% 4 p8 s3 z! I' s% j' k
+ x3 V/ _/ `+ a7 O2 i3 r1 y* I答案和详解，登录后回复可见：
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# g9 O7 V* g% V7. The U.S. Treasury spot rates are provided in the following table：
7 b; }' O" K# m1 S! u6 q0 F| 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?
k. ]4 M2 H! O1 o& e1 q* h1 kA. $100.61
6 D1 _0 Y) F1 z) ~8 TB. $102.96 6 I x$ z5 z' _ w( p% I) n
C. $98.92
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' G" k% x+ x- l, o1 Y8. Tina Mo, a fixed income analyst, is asked to value a single, default-free cash flow of $60,000. She is given the information in the following table：
1 N4 j) Q& d+ `| Period | Years | Annual Par Yield to Maturity BEY | Theoretical Spot Rate BEY | 6-month Forward Rates BEY | | 1 | 0.5 | 2.00% | 2.00% | 2.00% | | 2 | 1.0 | 2.40% | 2.40% | 2.71% | | 3 | 1.5 | 2.70% | 2.71% | 3.12% | | 4 | 2.0 | 3.20% | 3.23% | 4.55% |
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The value of this single cash flow at the end of Period 4 is closest to: 4 n9 I9 E$ {- f
A. $56,427
) {0 l: J' M# `+ c, O7 O [B. $56,309 6 F0 U+ `+ R# h' t7 j7 H
C. $56,276 0 D* L2 W' W( f- R$ ~+ ?$ V
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2 `& s$ F; x2 b3 K0 {0 M+ S& z9. The zero-volatility spread is a measure of the spread off:：
6 k0 i2 D/ Y9 @# H8 DA. one point on the Treasury yield curve. 0 @! g# r: Z! m
B. all points on the Treasury yield curve. ( P9 Y4 p1 \ U
C. all points on the Treasury spot curve.: O- B5 Y$ z9 |7 K% j3 P' t+ ]
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10. The U.S. Treasury spot rates are provided in the following table：
+ [: m) V3 f% v' Z% j| 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 $89.464. Given the YTM of a 3-year Treasury is 12%, the Z- spread of the corporate bond is closest to: ) @* [* u, t+ s$ i* f
A. 1.50%. " M+ m7 |( ]3 Z9 q9 Z, D. L
B. 1.67%.
" T4 x3 x9 S, n* Y4 f* {C. 1.76%.$ q. {; E7 S4 o+ l# L: b
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