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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：+ a" A* \/ \6 R- x$ G2 Y5 S I
A. 3.85%
* N N# n* _" u @0 t. @B. 7.69%
' ^& {( j6 G) D5 kC. 7.84% ) k# t5 @1 r2 N, u
. @& o4 i5 y9 H% Y1 ^) M答案和详解，登录后回复可见：, o- J7 O/ h% e3 e& {5 N6 F
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' T( j" v6 c" D. d* `1 g7. The U.S. Treasury spot rates are provided in the following table：
+ T" j7 a+ B* D. q( 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?
) b D1 e" L ?9 oA. $100.61
" F6 w4 L+ D( k* z6 @& F0 _B. $102.96
P S! [# O/ Q9 |C. $98.92
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; X2 y; ^4 r; ?0 J/ z6 O' l% c, m8. 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：, V7 W) X4 \' \8 J- d3 v- 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% |
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The value of this single cash flow at the end of Period 4 is closest to:
+ m) g- z8 |( v4 o8 bA. $56,427 3 ~2 Y# r( @* {
B. $56,309
1 [- @, f+ R' P s. R" @C. $56,276 ) q3 Q5 D: d/ v* B u% i- j9 p
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9. The zero-volatility spread is a measure of the spread off:：& X: M5 M' n; a B9 J$ n/ |2 B* Z
A. one point on the Treasury yield curve. , L5 x8 p4 x4 C& P
B. all points on the Treasury yield curve.
/ M/ b7 H) o; Q- H& x( y3 Q- TC. all points on the Treasury spot curve.! L/ S2 @5 D9 q& C O1 U- n/ C; L
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# U* \/ Y: |1 S1 Y, p' F7 K- q& b10. The U.S. Treasury spot rates are provided in the following table：1 X" y4 h) ~) d# ^5 T% |
| 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:
+ Z/ j8 h5 J* T9 l, iA. 1.50%.
6 ~" t+ Z; R# U8 qB. 1.67%. / F, [* L6 ]7 Y
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
