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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. o( r! r5 ]& P8 zA. 3.85% : J6 o4 C; `/ h1 `$ ]
B. 7.69%
% J- {# n; M( R. t% U cC. 7.84% % M8 V% D8 e; R; Q1 n7 x- x
# R; a; B7 B L0 ]( M( }答案和详解，登录后回复可见：
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/ f5 i* z; J8 H7 q! V1 ?0 _6 ?& `7. The U.S. Treasury spot rates are provided in the following table：
, C |, I. W/ e| 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? ' @1 \0 ~0 X3 a1 K5 b ]% r
A. $100.61 ; ?8 x" ~, P5 {( l$ I" X
B. $102.96
9 x- W1 K& F% c" l$ ]C. $98.92 7 E4 g6 X7 Z) i
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/ u$ p1 ?8 C, J5 f4 S8. 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：# ?6 a# N* Z) @, X
| 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% |
& c9 F2 }, _+ X+ {1 x. cThe value of this single cash flow at the end of Period 4 is closest to: + u7 O3 X) M: K: `
A. $56,427 % m8 |: G: _+ E* U3 ]5 }+ X/ b; F
B. $56,309 ! r/ E5 i4 `5 _' V
C. $56,276 0 h+ Q/ U+ U8 ]& |* x: }1 |
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/ n; R! \9 F" d/ K9. The zero-volatility spread is a measure of the spread off:：
* ]) u- Q9 h3 G: X% j+ e1 sA. one point on the Treasury yield curve. ' u/ X9 U1 U& b& [
B. all points on the Treasury yield curve. ( n( `7 u: ~# B0 a
C. all points on the Treasury spot curve.4 e- W5 ]5 V; `. e. Y
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/ g, n* N6 {' I10. The U.S. Treasury spot rates are provided in the following table：7 R4 ?! q& P1 S( M6 U4 R$ O
| 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: - M" e( g: s3 K* a. @
A. 1.50%.
' e& j, p4 J1 X/ x; {7 e. NB. 1.67%.
: B7 s9 M% y5 V8 WC. 1.76%.
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