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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：
, c9 o0 c5 B& E1 UA. 3.85% R# `/ f& a$ ?
B. 7.69% ! \7 l0 }9 b- _" f; W6 e( h7 |
C. 7.84%
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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：
5 m+ q/ v* W$ W7 E; n: i- g+ G| 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? ) |! B G" U1 O: k2 \7 @- z8 ]; y' |
A. $100.61 8 f0 R0 E7 E# u5 G1 j# @
B. $102.96
) Q z6 a# {; ?9 KC. $98.92 6 o- A! B7 x$ c$ V7 }
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$ e, ?5 ~; z0 F+ K, W# p7 ~8. Tina Mo, a fixed income analyst, is asked to value a single, default-free cash flow of $60,000. She is given the information in the following table：; t1 G* h$ _$ M+ ` p; o 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: ! z2 ]7 ?4 ^- k$ v8 }
A. $56,427
! ?2 P7 ?$ i K# e6 @4 i1 F; p/ kB. $56,309
8 I# i/ v! a3 j cC. $56,276
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9. The zero-volatility spread is a measure of the spread off:：
0 F) X8 N( ]2 p) D" X( f+ t L3 qA. one point on the Treasury yield curve.
( X1 ?+ u d+ JB. all points on the Treasury yield curve.
" _. [/ G: x2 {$ PC. all points on the Treasury spot curve.7 i* {5 }: q# s4 r* ^3 S* A
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10. The U.S. Treasury spot rates are provided in the following table：
6 r1 R: J8 P4 Z+ ]9 c4 F- \| 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 $89.464. Given the YTM of a 3-year Treasury is 12%, the Z- spread of the corporate bond is closest to:
6 V7 e9 e: F- M& P: L7 }A. 1.50%.
. Q5 z3 a9 i9 s$ Z* W8 O) r1 w. |5 VB. 1.67%. 8 l/ R' E1 y7 U
C. 1.76%.; W. {6 ^2 E( C0 B4 t* l
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发表于 2016-1-7 09:11:45
发表于 2017-9-3 15:17:23
