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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：
# n) a) g* v; a% H, q6 j# F2 T4 VA. 3.85%
# k B2 y/ u9 W8 Y( h9 F8 R" ZB. 7.69% + m& c4 e- |0 _
C. 7.84%
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# s8 f' }! u3 i/ a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：8 ]/ G \4 v9 b% Y( c
| 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? $ b* H1 u/ F4 X2 f: w! z9 g
A. $100.61
; P$ w& N$ c( H; F7 fB. $102.96 3 c5 d$ e2 q9 G" h# b: x$ U
C. $98.92
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2 p3 g L# F; Y+ S5 Q/ `8. Tina Mo, a fixed income analyst, is asked to value a single, default-free cash flow of $60,000. She is given the information in the following table：
( d/ y$ O& T \# W- H| 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: 8 c! A4 U( }& P' v( l: G4 Z0 O
A. $56,427
7 h, R4 p% g5 X' W1 b8 {; tB. $56,309
0 K5 Z2 V' ?" C2 }6 iC. $56,276
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, q H7 m/ I- @! N' {6 g( N9. The zero-volatility spread is a measure of the spread off:：' x0 r* G& }2 |% u" B# b0 ?7 b
A. one point on the Treasury yield curve. 0 X$ X/ l% N% c4 M D' n; U+ o0 Z
B. all points on the Treasury yield curve.
1 ^$ e0 G6 i# n u9 WC. all points on the Treasury spot curve./ ]+ P1 K: [3 P
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10. The U.S. Treasury spot rates are provided in the following table：* m( _8 Q6 p- a/ U: Q8 d4 G
| 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 $89.464. Given the YTM of a 3-year Treasury is 12%, the Z- spread of the corporate bond is closest to:
: h4 o- `* j5 u( U& fA. 1.50%.
0 y" K0 S- c2 nB. 1.67%. % `) n- W7 Q3 q3 K* z6 |/ P
C. 1.76%.7 d2 w8 J0 C# F$ A( a! R1 C
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发表于 2016-1-7 09:11:45
发表于 2017-9-3 15:17:23
