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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：
+ A5 G o" o# U d0 YA. 3.85%
. ?) v9 Z, _# ?2 i: mB. 7.69%
7 `+ S( k& N" N. vC. 7.84%
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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：
8 }) {) r! p& i1 Y, J| 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? : d, D2 N# I" d+ Z) U7 j
A. $100.61
% m' S8 y- f* rB. $102.96
6 J0 }% d V4 X" bC. $98.92
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; N6 I7 {* N k V$ n$ t# x; n8. 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：
. o3 u3 ~, B: M* S, }& R| 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: ! a4 T- a k& M
A. $56,427
- _' z' U! F/ v) m1 O7 S, HB. $56,309 0 ^: Y+ [) O4 ?4 t8 N
C. $56,276 ( `& Z9 F! k2 V/ A9 ~ R
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8 }5 i9 A! m. [9. The zero-volatility spread is a measure of the spread off:：8 u3 f% |0 `# ~( s
A. one point on the Treasury yield curve.
/ `, k: _& k, o j; EB. all points on the Treasury yield curve.
& |( L8 J$ t+ v7 \$ }/ x7 O9 n) L8 FC. all points on the Treasury spot curve.* l6 g& J9 i) C% a0 V# O7 O6 O. n
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( v* i7 L, {+ P- V4 c( \% U! D3 g10. The U.S. Treasury spot rates are provided in the following table：
) C! |0 K# E- 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: # u( F! ~: ^! F
A. 1.50%. $ _. T" o# W" r3 a1 Z+ l
B. 1.67%.
" [7 U7 w! P1 `+ P( c+ sC. 1.76%.
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