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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：
' T% ]( c @4 V1 }) AA. 3.85% 3 Y2 k6 \/ s2 }9 E" F% b# y, B x
B. 7.69%
! }$ Y2 Y1 R: E8 f$ P- C8 fC. 7.84% 0 ~; B6 c5 F1 b. k) t
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答案和详解，登录后回复可见：
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7 V+ }8 p4 n3 `1 x( a7. The U.S. Treasury spot rates are provided in the following table：* P" U5 {1 z, R! F8 t* k; F" T9 ]
| 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?
$ f8 m6 H6 }) J& Y' kA. $100.61 4 u5 l$ K' B' k& ^* p; ~. A& a( q
B. $102.96 3 e! b$ |: |3 g% U G
C. $98.92 K) h( M3 r$ v7 r- M1 ?4 G
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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：
8 S4 E% r) C" U| 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:
/ P* T! C9 x/ ^5 M7 QA. $56,427 2 R/ O) k `3 e r% `) I9 s( @
B. $56,309 " R/ r$ a, N$ }
C. $56,276 3 a$ W; c: E4 _# t' N+ }8 b$ @
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1 N N( }# ~& q) P5 X% n9. The zero-volatility spread is a measure of the spread off:：8 O% I4 C9 |1 F
A. one point on the Treasury yield curve. ) c4 ?9 m2 x! D5 z4 e2 z( D
B. all points on the Treasury yield curve.
" i. A' x# a- \C. all points on the Treasury spot curve./ a O7 p* U* J
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10. The U.S. Treasury spot rates are provided in the following table：
/ d! ?- n% K1 t; H5 Z| 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:
3 L3 @, a9 O6 D9 B' G! v. ^: eA. 1.50%.
. _2 p' h& q( [& P. n. hB. 1.67%. " `* f4 I9 x t2 S+ n) z! f) | S
C. 1.76%.
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发表于 2016-1-7 09:11:45
发表于 2017-9-3 15:17:23
