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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：
. D; e/ p* p! i2 ?A. 3.85%
; X% Z% |0 M6 K: AB. 7.69%
# W% c! O; r6 l% JC. 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：/ f' M+ J. Z5 s# T5 i6 C
| 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? % V7 Q4 E+ `1 q& I- v
A. $100.61
- q( _, p( d( A6 Z RB. $102.96
" V5 L* ]3 Y& b+ m9 C" |5 f, FC. $98.92
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8. Tina Mo, a fixed income analyst, is asked to value a single, default-free cash flow of $60,000. She is given the information in the following table：
9 u, u% O& I ~& i2 j& `% M| Period | Years | Annual Par Yield to Maturity BEY | Theoretical Spot Rate BEY | 6-month Forward Rates BEY | | 1 | 0.5 | 2.00% | 2.00% | 2.00% | | 2 | 1.0 | 2.40% | 2.40% | 2.71% | | 3 | 1.5 | 2.70% | 2.71% | 3.12% | | 4 | 2.0 | 3.20% | 3.23% | 4.55% |
; b& \0 G" H1 i$ B, MThe value of this single cash flow at the end of Period 4 is closest to: $ N5 Q g. D1 {' S+ V/ Q! d2 _9 l, d
A. $56,427 / D3 X( {7 U7 i7 E6 W/ V6 y& G
B. $56,309
8 d; z# H8 } `/ Q nC. $56,276
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9. The zero-volatility spread is a measure of the spread off:：9 g y/ J1 K0 v5 Q
A. one point on the Treasury yield curve.
% U& S8 G( h9 h# i7 B& `; p0 K6 _. DB. all points on the Treasury yield curve.
0 b, J# ]9 a6 ^: T" MC. all points on the Treasury spot curve.; N8 p; V/ N4 k; P% W/ [+ W4 W# [
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10. The U.S. Treasury spot rates are provided in the following table：
8 c& k+ E1 w$ A c+ m, T; i1 D% d/ ^' y| 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:
; V6 J7 A8 ~0 L4 m F" AA. 1.50%. 1 j% i& L3 R: n# R% v
B. 1.67%. 7 D4 N# ?0 m# ^% p: ~3 P
C. 1.76%.9 T2 b# O# |/ E9 Y
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发表于 2016-1-7 09:11:45
发表于 2017-9-3 15:17:23
