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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：) |) s4 Y* [) m
A. 3.85%
4 x, l3 I8 t: }) ^/ i c9 S+ _B. 7.69% & T. S/ G* z H% I5 s5 C7 E, j# p
C. 7.84%
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: K# B7 }3 j" \. A8 y% S% O" c答案和详解，登录后回复可见：
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" J+ @" w) a9 W9 a/ i: _3 H& g7. The U.S. Treasury spot rates are provided in the following table：
/ e7 o) Q- P& [1 E| 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? 5 V5 G, d3 Q! o8 X- {
A. $100.61
3 I/ h6 y7 u" qB. $102.96 9 y( P, Q! X K- M* p
C. $98.92 3 @3 i* E" W8 h+ Q3 N( s* ~! D
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, s" k. R4 Q9 |) h: O8. Tina Mo, a fixed income analyst, is asked to value a single, default-free cash flow of $60,000. She is given the information in the following table：) E9 T$ d- N' Y! v/ [% `
| 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: 5 a; I* b" ^: J/ k
A. $56,427 3 F0 c, v2 G) K
B. $56,309
( S/ k+ L$ k: h& A) [8 V- KC. $56,276 % Q9 O. R4 K* ^) X
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9. The zero-volatility spread is a measure of the spread off:：
/ b5 r A! s* PA. one point on the Treasury yield curve.
6 w5 U5 A5 X9 w" C# [2 t2 O k, JB. all points on the Treasury yield curve.
1 Y, n2 ]7 {/ `. @5 p$ N/ uC. all points on the Treasury spot curve.
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( B* Z8 S# x, h9 X6 u( O' Y9 g6 Z10. The U.S. Treasury spot rates are provided in the following table：! ^: e7 \0 f* D2 x( v3 r( x( h
| 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: 6 D' O5 V% O! C X3 G5 C \
A. 1.50%.
R' ~% V+ X5 `0 l; M( g X* SB. 1.67%.
( L( o1 z5 g2 w; i3 YC. 1.76%.
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发表于 2016-1-7 09:11:45
发表于 2017-9-3 15:17:23
