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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： L; w5 R9 K, i2 ~
A. 3.85% 5 D( ~7 n2 Y* r4 O& ^
B. 7.69% ; J* f+ {8 o5 D3 ?. |7 @) ]
C. 7.84% 0 R2 d" y- T0 F+ e# M; }
( v7 P; B0 L0 F2 g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：
* x: K7 m. T* Y" s! d| 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?
. @- B0 i! h! U0 C% P$ ], f9 {A. $100.61
1 B3 |5 |( `. n5 g z ZB. $102.96
& [: j6 f. C: O) a( h1 ~/ z# \C. $98.92
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2 {! E5 a( E8 s- }& k( N3 f3 I8. 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：& A0 b4 `. l. h; Z
| 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:
, e' d" r' F: I& o' DA. $56,427
% I0 w/ z8 [5 O) N8 f2 PB. $56,309
. P, M ~ l0 d& t& b1 QC. $56,276
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# C$ p& P/ m) w% |! n- A$ Z! o% J9. The zero-volatility spread is a measure of the spread off:：
! a2 l- p4 R2 kA. one point on the Treasury yield curve.
% U, K) b6 q# AB. all points on the Treasury yield curve. / B' `- V- Q- \' j9 {
C. all points on the Treasury spot curve./ A/ ?$ H$ j" |- a! s4 q W
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10. The U.S. Treasury spot rates are provided in the following table： r# |4 u( _/ X7 ]) ^- o
| 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 $89.464. Given the YTM of a 3-year Treasury is 12%, the Z- spread of the corporate bond is closest to:
. f/ b8 u0 N5 p+ F/ ^" xA. 1.50%.
% ?% m1 P# \& G! P: a. BB. 1.67%. * h @, u# Q5 d0 a$ V8 x
C. 1.76%.
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