|
|
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：
6 T4 [; n9 f# y7 ]$ r; u. HA. 3.85%
5 c& v6 K9 n. \0 ], I9 hB. 7.69%
& {- s; |2 c$ d* {C. 7.84% . P5 I/ \! W: W+ _ x0 I
+ N. [ ~0 Y7 M* {9 m6 `
答案和详解，登录后回复可见：. P+ T% C: P' H) u% P
0 M3 Q6 ^; |+ Q- e, \- g( J% ~( O
. w( c1 Z' B4 p' p: Y! H* S B5 _; c7 `8 a; ^- I
7. The U.S. Treasury spot rates are provided in the following table：0 U; \1 }. Z! M3 G
| 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? 3 g' x5 x, `' g
A. $100.61 ) y9 a7 b; ~0 o
B. $102.96 # }" n) y0 K6 `. S
C. $98.92
, }4 C/ J0 Q$ P# z) S
% c- S. z; h0 I- c1 D$ _# n! Z. u! ^8 h. X; y
$ M, x% n5 t$ Q1 X
- w# ^) H' C* f2 o' I' e
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：; L6 C8 F% W0 H+ ^* H7 M9 I' `
| 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% |
9 }! W" L9 k" {( c' o
The value of this single cash flow at the end of Period 4 is closest to: ; r# [7 n9 [. J
A. $56,427
: {7 @: v$ R' B- T% DB. $56,309
3 y+ i o% l; M* T( ~C. $56,276 ' x; ]3 {6 m7 r7 B' Q; r
% h4 x- v; h1 X3 Q
+ X* e5 w) y& R- g( v+ x! p: P( E1 s! I4 ?+ U
2 x- z# J; U5 s) M2 C& ~' ?9. The zero-volatility spread is a measure of the spread off:：2 Y% M5 Y+ A$ A* |/ r) e! k
A. one point on the Treasury yield curve. 0 t& H n0 H; [. \
B. all points on the Treasury yield curve. % L# |% [$ s( h/ L& N" n2 w" s4 {
C. all points on the Treasury spot curve.0 f) o. S+ F6 t( F/ `6 s) i6 }
- x4 j. G6 L: F% C! n0 x
6 i4 R) N! ?) p: o) W8 m( A
6 ^0 t/ C9 j0 P/ G3 Q
! e0 P4 Q/ g* d
10. The U.S. Treasury spot rates are provided in the following table：
6 h- Q$ Z3 c" 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 $89.464. Given the YTM of a 3-year Treasury is 12%, the Z- spread of the corporate bond is closest to: 1 D( C! S% o) \* d* K# f
A. 1.50%.
5 Z; ]* `4 {/ l4 oB. 1.67%. " Y$ U& W: ]) o0 r
C. 1.76%.
7 u- G' S! R. t) a! x
. m$ @6 B2 d+ H+ C2 G- I& V
( m1 e8 L* h1 e5 h" a/ z% _5 n$ b& i. U- M- p' h/ n' Z0 c2 H
更多CFA习题可关注：高顿CFA题库
: e6 p# w! u2 g/ d+ q% _: n关注微信CFA-FRM （CFAFighting）CFA考试资讯抢先得% X# _% O" b( ?: ~9 c
; U) a$ `% c( ?4 @2 g" `# z |
|
[复制链接]
发表于 2016-1-7 09:11:45
发表于 2017-9-3 15:17:23
