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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：
; h' }. O* \* z. ~8 [7 W- wA. 3.85%
% V |" N' v L' ?, a" K( T qB. 7.69%
- ~4 h" z' _5 W! V+ mC. 7.84% ' O! l- a# I" S0 ~1 u
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答案和详解，登录后回复可见：
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7. The U.S. Treasury spot rates are provided in the following table：. i* _+ P+ z; L( ^3 ~4 Y( \' {
| 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?
# q8 A5 D+ E( ZA. $100.61 3 r& O$ q+ c& z1 @
B. $102.96
/ I$ d$ X7 Y9 _" s7 FC. $98.92 : E% U0 x. O/ Z5 d7 \, m& w0 Q
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6 r/ E: U+ ]1 B' b+ e5 X* V* o8. 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：
$ k3 r4 W) F" e# k# j0 H, N| 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% |
4 j/ ?; C: k( b" A9 ?& ^3 eThe value of this single cash flow at the end of Period 4 is closest to: . w0 i! u' S) q* ]8 H2 b
A. $56,427
. x. L7 k: p' H( `( TB. $56,309
2 U# p" H& c9 V6 p/ P, d" N- MC. $56,276
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* [$ C3 ^8 e) W3 Q9. The zero-volatility spread is a measure of the spread off:：9 y' C# P6 i* h% P+ H
A. one point on the Treasury yield curve. 5 Q6 Y: D# G4 L7 h+ P" d9 K `+ C0 l
B. all points on the Treasury yield curve. % S0 d# b- G5 C2 A6 \. I
C. all points on the Treasury spot curve.
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8 S/ C1 ?( H% y5 z10. The U.S. Treasury spot rates are provided in the following table：" n0 J+ {6 v9 s/ g; ?
| 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 $89.464. Given the YTM of a 3-year Treasury is 12%, the Z- spread of the corporate bond is closest to: ) ^0 h$ p' V9 Q8 V8 D ?, t
A. 1.50%.
6 Z: ?5 @7 z: w* dB. 1.67%.
( F) f* ~) b- \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
