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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：. X2 R! U$ c3 U
A. 3.85%
- K/ }9 y6 I4 {- }9 fB. 7.69% 4 p- J$ i4 V' M) `/ ]+ g
C. 7.84% + t( A2 m- |2 |+ A; C+ r% u
( n# S Q) Y; N! W9 f6 O答案和详解，登录后回复可见：# U9 i% C. L3 b
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7. The U.S. Treasury spot rates are provided in the following table： h6 E+ @# m8 M- x# }# Z( 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? 3 G3 A: { s& a6 B, Q
A. $100.61 0 M5 L4 ^1 o0 A
B. $102.96 ( R5 O9 e3 I6 t, X+ B9 Q; W
C. $98.92 ! d1 T: v h/ Z3 B
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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：+ v+ Q/ m) W0 S
| 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% |
$ r; Y) C6 G+ Y% X }9 }The value of this single cash flow at the end of Period 4 is closest to: 8 |& Q* P- q/ M7 X9 U- C; ~
A. $56,427
+ e$ U4 p$ v4 Y! \B. $56,309
+ g/ l3 U | x0 `C. $56,276
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9. The zero-volatility spread is a measure of the spread off:：
# q. N l7 D5 V0 Q% `; GA. one point on the Treasury yield curve.
3 l" `1 M5 c% _& n6 b; K5 l4 k6 XB. all points on the Treasury yield curve. + U, G! y9 P9 y: Y! \
C. all points on the Treasury spot curve.
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10. The U.S. Treasury spot rates are provided in the following table：# O# _; i. R* ]( r
| 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 $89.464. Given the YTM of a 3-year Treasury is 12%, the Z- spread of the corporate bond is closest to:
8 m( k2 V( ~+ o+ ]) ^7 J; Z3 lA. 1.50%. 1 W5 F8 ?/ D4 E4 m- j
B. 1.67%. : c4 O: h8 U& q$ F
C. 1.76%.) A$ R( ]# o1 z; p
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发表于 2017-9-3 15:17:23
