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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# `# c+ {# X% }5 h, YA. 3.85%
3 u4 M2 s. g0 LB. 7.69%
) Y |1 Y, E8 H9 c3 T lC. 7.84% 8 \/ S8 @! W2 a: p2 G6 A5 J
/ E" _; h! I% X' ~# ?4 r答案和详解，登录后回复可见：
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3 a5 H! h' j! S3 b# M' T, e: g7. The U.S. Treasury spot rates are provided in the following table：! j( Y: c* m2 P+ 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? . X# T% S! P& g' E- ?
A. $100.61
9 q+ \6 f6 A0 I4 Y2 IB. $102.96 + |0 C' q2 G3 j+ j; Q
C. $98.92 5 e6 v Y; Z8 x# r( p
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8. Tina Mo, a fixed income analyst, is asked to value a single, default-free cash flow of $60,000. She is given the information in the following table：2 |/ ?* ^9 ^! O o) O# N
| Period | Years | Annual Par Yield to Maturity BEY | Theoretical Spot Rate BEY | 6-month Forward Rates BEY | | 1 | 0.5 | 2.00% | 2.00% | 2.00% | | 2 | 1.0 | 2.40% | 2.40% | 2.71% | | 3 | 1.5 | 2.70% | 2.71% | 3.12% | | 4 | 2.0 | 3.20% | 3.23% | 4.55% |
5 q& o$ ]" r% Q6 D7 B4 V$ XThe value of this single cash flow at the end of Period 4 is closest to:
1 Z7 w# I) P! N; ]% q3 K, D! DA. $56,427 ( |' l9 ~ X8 o" Y/ |$ S+ ^
B. $56,309
% @. Z( |3 }5 J( O1 ~. H/ ], JC. $56,276 ) n% q# e0 s! M" M
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! `# G5 h. m" u9. The zero-volatility spread is a measure of the spread off:：
" d. B% V% X9 d- h6 ^' ZA. one point on the Treasury yield curve.
6 V' S; G( p" C' y4 ^& gB. all points on the Treasury yield curve.
7 K) p- W0 I |" M$ j2 e nC. all points on the Treasury spot curve.
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10. The U.S. Treasury spot rates are provided in the following table：1 b5 L) U* g; C; {. ^4 G; X1 b
| 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 $89.464. Given the YTM of a 3-year Treasury is 12%, the Z- spread of the corporate bond is closest to:
! B& V2 ~ l# p$ N I% hA. 1.50%. & h& u+ V6 R) @- ^. q3 T* P
B. 1.67%. l, R6 p, [+ ~# y& X' t9 Y2 \
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
