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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：) m2 P# B- k. t. g+ Z# I F
A. 3.85% 5 u. S6 O$ Z/ n9 N4 X% M
B. 7.69% " i1 v" v3 P* ^) j
C. 7.84%
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答案和详解，登录后回复可见：1 c% j. [: e8 d% G r
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; Y& ~# l; W$ y1 z, t7. The U.S. Treasury spot rates are provided in the following table：; T0 x( C! H5 v
| 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?
) E N* Z ~+ n6 qA. $100.61 & N5 \* _8 I% r# K' d; c
B. $102.96 - k0 s, U2 w! J' D7 y9 l) z
C. $98.92 & T! T/ A* b$ N
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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：: x1 k8 E/ ^4 L) u, b
| 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% |
$ F, y0 e& E% |) SThe value of this single cash flow at the end of Period 4 is closest to: 4 Z+ H0 }! g+ q6 \& m
A. $56,427
" s8 Z1 y% E/ N( o; c; }7 j- ^( yB. $56,309
# e8 S2 K/ W* l8 Z& z* d2 R1 WC. $56,276 1 V+ }! [( }* i0 p4 B9 ~& t
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) A, U, b$ |4 \" j9. The zero-volatility spread is a measure of the spread off:：
+ M/ x" @8 b7 k0 e8 ]; D) {, `A. one point on the Treasury yield curve.
& y8 O+ O9 @# F8 T E" aB. all points on the Treasury yield curve. * P( L/ e, m/ ^) K
C. all points on the Treasury spot curve.
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" O) L: H2 ^- [10. The U.S. Treasury spot rates are provided in the following table：
q2 ~! C6 S/ A2 f/ _5 c) U| 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:
; d8 v6 a6 V% L7 i! G% V1 o6 i1 MA. 1.50%.
! g6 G( n, a. i3 m- [# x/ `B. 1.67%. 8 G+ g8 U% b# o6 p
C. 1.76%.
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发表于 2016-1-7 09:11:45
发表于 2017-9-3 15:17:23
