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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：
0 ~. O+ d4 Y, A3 V) ]# yA. 3.85%
, Z% R2 P1 X) j8 } e1 W VB. 7.69% % A1 w) y* E9 u3 V
C. 7.84%
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! A _- Y. x- B# O2 i答案和详解，登录后回复可见：& Z0 o8 z+ d& A
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0 S2 k! G* ]6 b7. The U.S. Treasury spot rates are provided in the following table：
0 b0 X: ?2 G1 V" K| 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?
% O2 O* x" x0 AA. $100.61
$ [! q* y5 \0 JB. $102.96
5 n, g' u3 P. e" h' P3 T9 {C. $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：
" `& w2 t6 U6 ?/ `' M; e: _| 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% |
' ^8 `4 E' m0 M' m/ JThe value of this single cash flow at the end of Period 4 is closest to:
+ F2 M7 v& P% F: qA. $56,427
) |) j, W6 p" y' h: @6 }B. $56,309
4 j6 B0 A( _8 _. l$ KC. $56,276 $ r/ d- l9 a; ?7 p8 ]2 o
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v+ @" W; o; t9. The zero-volatility spread is a measure of the spread off:：
, {7 F& k: l8 T7 l! G- `A. one point on the Treasury yield curve.
* U4 _* D; Q; q, y& y- T$ {0 QB. all points on the Treasury yield curve. ! D$ z6 @: l+ O* F2 Y5 O8 B
C. all points on the Treasury spot curve.. Z7 K0 N9 l+ P& e( a, T
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) W: y/ h x' s" e: W10. The U.S. Treasury spot rates are provided in the following table：
! S# x8 J. y& D0 i2 ~| 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 $89.464. Given the YTM of a 3-year Treasury is 12%, the Z- spread of the corporate bond is closest to:
& Z) a' C/ A* x! G$ H2 zA. 1.50%.
H1 f5 q' }7 N+ QB. 1.67%. 1 o2 ?0 b( k$ `0 d
C. 1.76%.
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