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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：$ Z; b4 }4 c" b8 ~: v0 i( \
A. 3.85% 6 i2 U! C# a2 D) g6 n
B. 7.69% / s, h9 J% X- m. N( j( D! O
C. 7.84% $ D. s# k0 Y7 q* w
( b. f6 v( U& P" Y答案和详解，登录后回复可见：6 U6 X# l- i7 g2 M& H
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, |, ^" a O+ d) T+ y+ v% N% W' k7. The U.S. Treasury spot rates are provided in the following table：; r8 A! G$ t8 l' O
| 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?
0 c+ P0 O9 c4 N2 S. r- VA. $100.61 0 q3 D# p$ A! t
B. $102.96
. C: H. P, a9 E5 ~2 ]C. $98.92
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* ^+ q& C3 k" K! P8. Tina Mo, a fixed income analyst, is asked to value a single, default-free cash flow of $60,000. She is given the information in the following table：$ U: y% R& z- ]$ T# 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: 1 O3 _5 x7 B$ Z+ y6 L5 [: h" S6 h( C
A. $56,427
+ j1 Q% W0 y% g5 F- ]* W, t5 Q& }B. $56,309 3 D" h2 l7 z1 K5 r
C. $56,276
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/ F- d6 m9 Z, Q7 X9. The zero-volatility spread is a measure of the spread off:：- C# I$ L! w. e5 h4 ]# d
A. one point on the Treasury yield curve. ! ?0 D! |8 C9 `! d$ q5 a
B. all points on the Treasury yield curve. 5 D+ d: t$ C( z, o
C. all points on the Treasury spot curve.. H. u) p' _8 k
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10. The U.S. Treasury spot rates are provided in the following table：
3 |, m2 L: z+ N3 k: X. b0 ]9 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: 4 f& W/ {* r4 n
A. 1.50%.
7 H: v1 G- R* x# f( g+ Z3 ]0 Z5 PB. 1.67%. , [# A* k6 }, ~: Y! J
C. 1.76%.2 _& a( M& M4 f
+ a, a5 `1 L3 L% N S [
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