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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：
7 u. n& D: ~- @A. 3.85% ' V. P$ n$ x* N8 l+ Q( B5 V7 U
B. 7.69%
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% n" L+ |6 V& P+ g! w6 s2 E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：
, E( d. i, b+ p' A; H* G| 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? 1 h4 p1 h9 [* j& P2 |
A. $100.61 - H* E- y; j* H5 k( O
B. $102.96 3 v. C7 {4 m% U' I! c
C. $98.92 " U. o8 l8 b+ i) ~# s8 n0 V
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8. Tina Mo, a fixed income analyst, is asked to value a single, default-free cash flow of $60,000. She is given the information in the following table：
1 c6 N! h$ }4 v$ z& a8 i. }" w/ x| 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% |
4 h5 o8 h' Y9 P0 d# a5 _The value of this single cash flow at the end of Period 4 is closest to: 0 y9 t0 Q) }+ o; ? g! D6 w
A. $56,427 4 g- m O1 i1 ?' |
B. $56,309 ( u* W$ m1 @! R) d
C. $56,276 8 m9 I7 ^+ p7 C4 w. r! l }
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9. The zero-volatility spread is a measure of the spread off:：( B9 S4 g9 f( a$ a
A. one point on the Treasury yield curve.
: s5 W Q2 T- F E" @" C) tB. all points on the Treasury yield curve.
) q+ {* R" y' L5 n3 ~+ R; V' yC. all points on the Treasury spot curve.7 X' d8 r2 l& \0 j' a" j4 h
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10. The U.S. Treasury spot rates are provided in the following table：
6 w2 u9 O z2 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 $89.464. Given the YTM of a 3-year Treasury is 12%, the Z- spread of the corporate bond is closest to: 5 m+ c T, S! {* @7 U! {- |4 u% Z
A. 1.50%. 8 K: A- h' @+ x- k9 ]
B. 1.67%.
7 b% B; v$ e$ u6 e- ~; B2 ZC. 1.76%.0 v) o6 E' O# p s
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