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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：
}6 J a' l6 W. Y4 d4 ? L WA. 3.85%
9 p; O9 M7 q/ @9 xB. 7.69% 9 |; I+ @, U+ |/ k2 U' z5 Y1 G
C. 7.84%
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- E5 ?( z' L' w* D& m8 m; k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：
4 J8 V1 ]9 v# y7 c" p& x! b8 Y8 l9 d| 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?
* A6 H3 N# H+ k' G/ _( N& \( QA. $100.61
0 i5 F. o% b' [. _: `6 d4 V% LB. $102.96 0 {3 q9 @: u& J6 m2 H
C. $98.92 % T' Y* @. A0 V% i* T9 a7 \
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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：
% q4 e- Y# q3 {2 A3 \6 h8 E7 L, V| 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: |0 n0 _* P4 M1 P i
A. $56,427 9 k' J6 v$ p9 z( c* F6 A. w) A
B. $56,309
% u8 g3 B8 }. N- G8 N7 ~# gC. $56,276 ; k( i4 e5 `1 z# M$ c8 _; n0 E3 {
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6 E5 e8 {) r3 F* s+ R# F9 ~9. The zero-volatility spread is a measure of the spread off:：
& g9 L+ P$ Q9 C3 TA. one point on the Treasury yield curve. ) q/ ^* I' h6 I
B. all points on the Treasury yield curve. 4 C% B& s! W4 W8 o
C. all points on the Treasury spot curve.
8 P) H% p: |" P& Y! k/ H8 G1 K; V1 Z' Z
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10. The U.S. Treasury spot rates are provided in the following table：4 \! s; ^1 ?% n
| 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: 8 Z" Y& d) R& R
A. 1.50%. / r' |; E S. u! W# U8 J
B. 1.67%.
. P0 r7 P7 _/ I* GC. 1.76%.( W& \0 O9 T& s& {& |1 Y# e2 u- W
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发表于 2016-1-7 09:11:45
发表于 2017-9-3 15:17:23
