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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：; f* }' s: @3 |/ [
A. 3.85%
6 N& R1 }& _& g% k# t0 b8 d. fB. 7.69%
! m+ ]4 ~' X* {C. 7.84%
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k. ^7 a8 l% e m答案和详解，登录后回复可见：9 F( p7 G x1 U5 g( L: o
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7. The U.S. Treasury spot rates are provided in the following table：
# @ f4 i9 |7 |4 I3 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?
( s8 x' t/ W& c/ ?% a' B1 HA. $100.61 # f9 f, p# N5 W8 P+ w h5 U
B. $102.96 " J. U ~& ?3 O# q3 d$ R! u" c- z
C. $98.92 8 o A; N8 n: E$ Z5 r* d6 H. V
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2 P* A( \- ^7 {* A# ]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：6 F8 A2 q0 I& c4 d+ A( W" b9 p+ t
| 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: 5 w0 k/ B1 H' w H2 G. K C
A. $56,427
* W2 ~4 a: g7 O3 i" ]8 o$ _$ gB. $56,309
0 I9 z, u/ C( Y7 ]8 L; KC. $56,276
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9. The zero-volatility spread is a measure of the spread off:：0 G- f0 S, J" P2 e- h
A. one point on the Treasury yield curve. / r1 S2 r0 X2 S" W; R7 W9 H* o
B. all points on the Treasury yield curve.
( r9 m5 D3 f1 ^2 F" NC. all points on the Treasury spot curve.
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# s1 J. }! k( _/ @8 w10. The U.S. Treasury spot rates are provided in the following table：5 Z* O" Y' C4 S( n; P6 \
| 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: ' K4 ^5 @; P) ~4 h. {. t5 x F- ^
A. 1.50%.
. G l: P) o* n0 ~5 [5 lB. 1.67%. 2 a: ~* t# [3 c
C. 1.76%.
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发表于 2016-1-7 09:11:45
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