|
|
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：. B1 R. Q$ ~0 z- ?* B5 S* G& g( S, z
A. 3.85% + m0 b' \3 G& p, k% V8 C
B. 7.69% R' [3 J* o. f5 r8 X% u
C. 7.84%
& y% m) C/ I8 w$ U1 i0 @5 }* C/ l$ x4 `2 s; z1 d
答案和详解，登录后回复可见：
& H9 K- q# z& d; I t
; D- _3 l0 @ `( `" e% l
6 d, g$ C" ~4 g6 \2 z) P5 |5 E Y" i/ m F0 c% T
7. The U.S. Treasury spot rates are provided in the following table：, G9 t! s; ]: L. [6 Z: S* O5 A5 W
| 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?
# m$ H& f* n2 t; p- n2 hA. $100.61 8 b3 m( r5 H+ I* v/ N. C2 M
B. $102.96
. ?$ b( x- Z/ l, FC. $98.92 + T% O% l. h6 X9 v2 \0 n7 E2 [: {
9 S3 _5 l% }4 ]
7 a8 @. x9 _! j. G* m) |$ @
0 T5 K. e |: S. }2 l3 j) O0 Y/ `( 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：
5 C. G3 A, \$ L, x2 `| 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% |
( C& u* i! q* OThe value of this single cash flow at the end of Period 4 is closest to: / w# z w% S+ v3 W+ Z3 m: l# k& h
A. $56,427 8 s$ a5 X9 J j
B. $56,309
' }5 c" e# z8 wC. $56,276
5 } U7 l8 |6 j) G8 V2 S* T- r9 m2 d! d: P( c2 s
- z% a* m& N' w8 \. r* a
* {& r) c9 U* X0 l" i
+ ]5 v& r( I9 @3 G6 P5 }, K j9. The zero-volatility spread is a measure of the spread off:：
* P4 ~/ v( \9 E8 S) tA. one point on the Treasury yield curve.
/ h9 d& e% ^2 t7 {: p7 D8 F8 oB. all points on the Treasury yield curve.
8 \8 R( @/ f3 E6 f$ C" W+ RC. all points on the Treasury spot curve.4 e) a" l O2 J4 R& X a2 I
# m) h# F, T8 ?
8 j, [, r" v5 N ~ ~
" c1 [! N& ?( b8 Y, {( ^, c5 c6 N$ S N) F' K& v
10. The U.S. Treasury spot rates are provided in the following table：
. ?- T5 B8 A+ P. r) I| 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 $89.464. Given the YTM of a 3-year Treasury is 12%, the Z- spread of the corporate bond is closest to: " `+ y) O/ {( f1 n3 m( e6 m, I) |
A. 1.50%.
2 a0 ]6 U c9 y: H* [B. 1.67%. : a5 P5 o( k( g- I0 x$ @7 q
C. 1.76%.0 Q, f" W! }0 q0 o. n
) L- Y7 H! S9 ]: Z9 h* c
: @2 Z2 ^4 H, V W
( ^5 s: L) b( z3 P- S! R更多CFA习题可关注：高顿CFA题库! z4 b) D: C) J- p: q
关注微信CFA-FRM （CFAFighting）CFA考试资讯抢先得
& _ ?/ i, P! Q. Z0 G/ _2 O8 n! g0 M5 `8 n
|
|
[复制链接]
发表于 2016-1-7 09:11:45
发表于 2017-9-3 15:17:23
