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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：" N' H: b* q/ w; L
A. 3.85%
0 t" V- C& e$ oB. 7.69%
. ?2 k- a: b: s0 _' n+ y6 }1 \C. 7.84% 5 C9 O2 q' u0 V* Q+ `, c4 c
) K7 C# J6 c2 T& g7 h答案和详解，登录后回复可见：. g* t& N5 v0 H
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7. The U.S. Treasury spot rates are provided in the following table：
0 z+ x( S7 Y1 l% ?| 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?
4 q9 _* u' R) L; X! a$ m- ^A. $100.61
! M" \: j8 ^. O% xB. $102.96
+ b( c) e1 k: T; v4 z* M# [, ]7 RC. $98.92 * a& {! O4 a2 z. U8 a
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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：
0 T7 l% H+ @) a8 c( v6 N| 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:
* t. R% b. T# ?% i6 qA. $56,427 & e( e+ ^, g# i& e* N
B. $56,309
# i1 ^; ^# z3 ]' V1 NC. $56,276 3 a) q! g' W; G; P v
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. i" M' S, q8 l9. The zero-volatility spread is a measure of the spread off:：) y6 y3 }, r7 ^% X" ^/ n
A. one point on the Treasury yield curve.
' F$ K5 T0 R3 q$ YB. all points on the Treasury yield curve. # U5 z/ z3 i1 Q0 X
C. all points on the Treasury spot curve.
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: i8 h) m. D( P5 E$ a6 C10. The U.S. Treasury spot rates are provided in the following table：
$ S% ]1 s% l; D. _" m+ m| 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:
' l: [+ P& A( L! j" v/ D! qA. 1.50%.
" k7 g3 p' I* n4 JB. 1.67%.
" X7 j( T# T+ x7 v# g sC. 1.76%.
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发表于 2017-9-3 15:17:23
