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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：
& r/ T6 {# c3 {* m2 I# aA. 3.85%
! E6 }2 P1 M9 ]# J mB. 7.69% % u( }) z. m- w/ n0 ]
C. 7.84% 8 W; v8 X, e5 o0 t
3 @& A5 l# X/ O+ |答案和详解，登录后回复可见：
z+ P. \% N% S9 W7 j) O4 K7 T( U" J- `: H
1 X3 ]/ H. H5 {
# P7 E5 `6 b* g( I# c1 ~
7. The U.S. Treasury spot rates are provided in the following table：; J! G0 S: f0 F# 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?
) w/ d, p8 @* M2 vA. $100.61
% Q' @3 O; s, P# fB. $102.96
M/ g% Y. w9 e9 y! `0 EC. $98.92
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) H" s n& x: r/ Y9 ]* G @8. Tina Mo, a fixed income analyst, is asked to value a single, default-free cash flow of $60,000. She is given the information in the following table：
2 g' f- H) c, @& e/ P$ `/ j| 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:
, J2 h4 \+ R7 n; @A. $56,427
& ^' V6 `1 [: ?' W9 H$ WB. $56,309 4 R+ I1 I( g* J( t
C. $56,276 # y1 N& N- g& n: g4 t6 ]
2 A, q/ Z. V; C4 O
, `- q' l* o' y4 ~$ P) E, q" X: o( u9 |! a! `% c7 t2 `# I
, ?2 [. U2 X8 I2 ~8 l9. The zero-volatility spread is a measure of the spread off:：
) t. W/ V( E8 L, {$ B8 v1 }6 tA. one point on the Treasury yield curve.
' l4 W4 o$ [9 g2 @B. all points on the Treasury yield curve. 1 K4 S7 ]; \9 e2 y8 A, d
C. all points on the Treasury spot curve.
3 E9 C; U) d7 p j" F n
' v% o, }/ W9 ^1 J
! k( c9 [% u( C8 G! I$ S" q+ |: W; Q' r+ v
: |& k' |& m3 U- ? ^# ]- ~" J+ e10. The U.S. Treasury spot rates are provided in the following table：
3 ?4 ?. d' J# y5 o6 t K9 P3 A| 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 P# i& O" g, p
A. 1.50%.
- J* v2 V% Z6 b, p, OB. 1.67%.
3 k1 P( d! I& i. L8 M+ xC. 1.76%.! v) ^/ i! s' F* q
0 e+ I7 c% H6 q3 H: X2 l
2 [; |5 X* p F+ f" c0 R' v9 W7 a* D6 [4 Z+ P5 H& T
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