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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：
# }$ O' Z9 E* d: Y3 [( NA. 3.85% + B- n8 G4 b3 u, ?7 }1 | b3 S
B. 7.69% 6 @' b& z4 l, ~7 M& M( h
C. 7.84%
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; s) c1 k3 V2 T1 Y5 }3 h+ u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：! T0 ]6 c0 I8 u 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?
9 }$ }" s' \1 C( ^A. $100.61
3 q2 L; N! W: v( RB. $102.96
" H8 V) r5 l/ ^- J* }1 `6 ?C. $98.92 2 y0 P+ ]1 d2 |3 c, |
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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：0 I3 \) i! r& P6 r: w) _6 J# j" ~
| 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% |
5 w) z- r2 F% E, o2 kThe value of this single cash flow at the end of Period 4 is closest to: " y3 a# S6 C3 L$ `1 z
A. $56,427
1 c: Y; p/ i |3 p9 tB. $56,309
4 [5 v% o$ O Q! d5 c7 n4 `C. $56,276 ! l7 ?4 E& k0 k
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& M3 \" x, t# u0 z2 q0 y# L9. The zero-volatility spread is a measure of the spread off:：
: T& I+ F: ?. V" R7 bA. one point on the Treasury yield curve.
8 N# R! y/ B1 j$ UB. all points on the Treasury yield curve. 5 N( d7 o3 ]+ t5 l- {
C. all points on the Treasury spot curve.
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; h( u7 U! |/ o10. The U.S. Treasury spot rates are provided in the following table：
) D6 T% x( }+ j* ^| 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: / o( ]+ w+ c3 Y: f
A. 1.50%. % _/ @- B/ g# E) K7 ~: i; @- q
B. 1.67%. : f3 b# O! G9 ]9 L+ u/ y& k% @
C. 1.76%.+ w* b; q' Y: j
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发表于 2016-1-7 09:11:45
发表于 2017-9-3 15:17:23
