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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' D0 q! z
A. 3.85%
2 [7 a& `# S' x) C- {$ z; W- v/ @B. 7.69% 7 y& O/ n; e+ e! e
C. 7.84% : {8 Q7 c+ `# x& n" c2 l
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答案和详解，登录后回复可见：/ d6 X; K2 l: P9 F3 I
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7. The U.S. Treasury spot rates are provided in the following table：
" j2 H) S! N; ]2 L8 q( ^| 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?
# Y7 m( W6 G# p [( [A. $100.61 # M/ D; v% q! [3 u
B. $102.96 ; z. U7 k5 t5 a p. B- \
C. $98.92
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* g/ l7 b% _ { f, w+ A8. Tina Mo, a fixed income analyst, is asked to value a single, default-free cash flow of $60,000. She is given the information in the following table：
- R6 y! e5 k& V' ^( j9 A( C3 m| Period | Years | Annual Par Yield to Maturity BEY | Theoretical Spot Rate BEY | 6-month Forward Rates BEY | | 1 | 0.5 | 2.00% | 2.00% | 2.00% | | 2 | 1.0 | 2.40% | 2.40% | 2.71% | | 3 | 1.5 | 2.70% | 2.71% | 3.12% | | 4 | 2.0 | 3.20% | 3.23% | 4.55% |
& ~7 y2 s4 ~/ p) B5 P$ \The value of this single cash flow at the end of Period 4 is closest to: $ R- b$ q [, q5 o& J: q
A. $56,427 % h! B2 K1 x% B, i5 w/ s
B. $56,309
# N$ E; W, C) H8 c+ X7 r" M7 m' |C. $56,276 ' d% E( \, [# l9 Z
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9. The zero-volatility spread is a measure of the spread off:：; [, u1 w5 P; ]+ ]" B
A. one point on the Treasury yield curve.
5 o9 S2 ~7 Q, ~B. all points on the Treasury yield curve. 3 o7 I, n1 M" Y* J& c2 Z1 i
C. all points on the Treasury spot curve.
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2 u# @ q* b l* ]7 W10. The U.S. Treasury spot rates are provided in the following table：: p+ B! u4 b7 P) y
| 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 $89.464. Given the YTM of a 3-year Treasury is 12%, the Z- spread of the corporate bond is closest to: 7 u+ H. A, z! d3 j
A. 1.50%.
" r) s/ f- y" R# h: l( l- T1 gB. 1.67%.
1 D' c3 ]! \# f$ j. ~; e: qC. 1.76%.( I+ \* u' G9 i, N* U
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