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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 _, K5 l5 qA. 3.85% 9 ?. a9 X' v% b! K& m
B. 7.69% : ^0 i3 K/ M' j! B
C. 7.84%
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4 l, t6 ]3 ~. c7. The U.S. Treasury spot rates are provided in the following table：
5 I1 W& Q. o* P& g, H| 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? 8 k' o: C3 ]. q! \3 x- k: [
A. $100.61 9 Y* |3 ^0 g: N$ c6 r5 c
B. $102.96
4 a' E( w, J* ~C. $98.92
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# _" V6 @& C" @1 a. n8 p8. 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：# w) ^2 ], d' Y3 a
| 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% |
. j6 q9 j4 p8 S1 PThe value of this single cash flow at the end of Period 4 is closest to:
* ]; Q- w3 l: X& mA. $56,427
5 g( O6 J0 _( B/ k+ S' TB. $56,309 ! A9 [' y, U. X* ]1 ~
C. $56,276
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: i0 [/ f, e0 S9. The zero-volatility spread is a measure of the spread off:：
7 K$ g. o0 C, t5 v- tA. one point on the Treasury yield curve.
) A* y4 f2 g8 c' aB. all points on the Treasury yield curve. : M# {6 |5 X p: K5 A# {% Z
C. all points on the Treasury spot curve.
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10. The U.S. Treasury spot rates are provided in the following table：0 z0 I( y3 m9 o7 c
| 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:
3 C; U6 `- B8 M/ YA. 1.50%. 0 f% @- m% k% G' j6 c' ~
B. 1.67%. 4 d( ~8 W6 o) |4 n; S
C. 1.76%.
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发表于 2016-1-7 09:11:45
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