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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：
) B: C2 S z: d# S- ~A. 3.85%
/ {) A) V9 n4 Q0 ]$ i! TB. 7.69%
$ h* d# ^$ I# A3 S- N/ tC. 7.84% 6 Z+ M; o0 |4 Y
* c' G/ v" P6 B7 L. }* n( X# H6 `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：5 i: N0 K/ c' H# X
| 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? 2 Y; M$ ^* K9 }5 R
A. $100.61
2 S4 W$ R! n+ r9 G7 E2 C4 T) \B. $102.96
8 O) K8 X/ H% Z% u, CC. $98.92 / R& F' u- D: ^0 R, m$ t" u# i
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8. Tina Mo, a fixed income analyst, is asked to value a single, default-free cash flow of $60,000. She is given the information in the following table：; C1 _0 M$ Y$ @' O4 i! g6 t( \! c
| 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: & g, I( {, Z" l% y8 ~3 V5 |# e
A. $56,427
- A1 m2 K2 h5 l s$ @& YB. $56,309 * q3 k' b2 M r8 W3 I* Q
C. $56,276
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9. The zero-volatility spread is a measure of the spread off:：
9 Y% l. U) C, j8 P2 P& sA. one point on the Treasury yield curve.
+ I8 J1 }+ M; y' }B. all points on the Treasury yield curve.
* `' s6 H. _0 a& M5 K) GC. all points on the Treasury spot curve.# ~3 A4 k' s# Z$ |9 E
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- Q+ s m4 D& V10. The U.S. Treasury spot rates are provided in the following table：: J0 ` U2 U& Q8 ~) J7 u
| 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: + Z6 H8 q: [% g- G: w* R( z" }
A. 1.50%.
/ W" ^' _" U. a! w9 o5 b+ c: xB. 1.67%.
: m" A& Z3 ?7 _: a# e; VC. 1.76%.
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发表于 2016-1-7 09:11:45
发表于 2017-9-3 15:17:23
