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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：
1 Z6 u2 y: ^2 ^8 F) _0 qA. 3.85%
, H6 B6 R. L5 y# q! HB. 7.69%
# V, i" [* o2 j3 t) ~9 z/ cC. 7.84% * A2 |/ {+ J: C7 c) f* P
2 f! m( P. l; ~$ c答案和详解，登录后回复可见：
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, g3 a' j& i7 F$ }: ^6 K7. The U.S. Treasury spot rates are provided in the following table：
1 m' ], f, J' Q) ~, S* | r| 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?
( I9 |( i H/ \% I/ }A. $100.61
1 s- B0 `6 V" \# s3 ~B. $102.96
" j3 h: F2 a+ g+ R+ [0 U& i( YC. $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：
+ F2 w4 H! B. r0 t" {5 h/ H# 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% |
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The value of this single cash flow at the end of Period 4 is closest to: ( E+ E; L7 K% G/ F( \4 \: `
A. $56,427
& |8 ]" V' I _* S; T8 Z; t0 PB. $56,309
& J3 o0 k8 x- _: [. q" @C. $56,276
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9. The zero-volatility spread is a measure of the spread off:：
, _1 G5 }7 c. f8 I( ?7 cA. one point on the Treasury yield curve. / ~5 G5 u: }3 J1 \- l q
B. all points on the Treasury yield curve.
4 w6 l% D' a( K) V* F P! |C. all points on the Treasury spot curve." W+ K. d& ]+ W. f, ^& N
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0 q, f2 F4 P) w+ Y# @10. The U.S. Treasury spot rates are provided in the following table：
2 }2 s. W, |6 h( u" e& 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 $89.464. Given the YTM of a 3-year Treasury is 12%, the Z- spread of the corporate bond is closest to: + m8 n' p$ N3 A
A. 1.50%.
p( ^$ l1 {6 W" PB. 1.67%. 6 N# ~" u5 n6 _
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
