|
|
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：
6 ?& V d' T- z9 N* s cA. 3.85%
6 [9 _# n) Q1 B6 T0 F# {8 GB. 7.69%
6 r$ q0 f+ U8 _; Y" F2 kC. 7.84%
% K1 J3 `8 z$ n$ \, Q, ~7 v2 J4 t) W3 z1 y
答案和详解，登录后回复可见：
! L, Z% o: {5 n
+ @, p* I" V6 v% w: h/ H( S
2 d4 O3 X9 s# g9 _9 Z! A
' `' h0 L& t1 n: j1 } S7. The U.S. Treasury spot rates are provided in the following table：
7 W3 o9 E; H9 u| 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?
$ A$ u5 e4 w/ i$ TA. $100.61
$ G% h, C v/ m! m/ gB. $102.96 0 c' X3 K! m0 w( @9 e+ A8 z# Z
C. $98.92
- x! n/ [% k9 [5 W$ h
: n% D5 `8 [8 ^+ w9 r; o7 v! j! m
& J! V4 R* h9 R7 _+ Y
7 o$ p6 {" h( Q) b1 t
8. Tina Mo, a fixed income analyst, is asked to value a single, default-free cash flow of $60,000. She is given the information in the following table：8 @7 Z( t: m8 H5 [& v# y1 w" T' g7 x, i
| Period | Years | Annual Par Yield to Maturity BEY | Theoretical Spot Rate BEY | 6-month Forward Rates BEY | | 1 | 0.5 | 2.00% | 2.00% | 2.00% | | 2 | 1.0 | 2.40% | 2.40% | 2.71% | | 3 | 1.5 | 2.70% | 2.71% | 3.12% | | 4 | 2.0 | 3.20% | 3.23% | 4.55% |
7 X. t3 S' D. t, g* CThe value of this single cash flow at the end of Period 4 is closest to: + ^5 k- c# r" ^# f. n% L* n$ O
A. $56,427
+ h, u1 y; J& }B. $56,309 $ v% B z- T7 M8 P& o; w9 K" d
C. $56,276
; W0 H/ _9 { w4 L
[9 g% X) J( S
* X, g' n" ~! d
3 G/ l* l2 u* _, r+ l# t) o
! T _ }4 t! }5 E9. The zero-volatility spread is a measure of the spread off:：" h. N4 z! T) M
A. one point on the Treasury yield curve.
) c% z2 Y" h5 S9 l0 [: z n# UB. all points on the Treasury yield curve. / X- M& ~" |3 t4 L( g
C. all points on the Treasury spot curve.
/ A0 U4 T f: S; y! ~5 J
7 P3 n5 u2 G$ Z, L* T
! }: r" _: F3 ~& G5 ~
0 ` e% I2 F! z
) \6 L( @, H ~10. The U.S. Treasury spot rates are provided in the following table：
: e1 T% q# w$ B. w8 A* O9 y0 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 $89.464. Given the YTM of a 3-year Treasury is 12%, the Z- spread of the corporate bond is closest to:
J* N, U; v7 F5 N1 X1 e: r* q9 uA. 1.50%. 2 M" v7 Z( ?+ ]0 F! P- l) a n: ]
B. 1.67%.
4 I; u" ]) X' a! ~0 SC. 1.76%.
5 a' V$ O( R! R8 E; u% r% S: H) b# _- T5 D/ V
: @' v l( w: h% [4 ^
8 h- F C" ^* p9 }) S5 l. Y
更多CFA习题可关注：高顿CFA题库
1 j3 N7 d3 _3 T0 G& K关注微信CFA-FRM （CFAFighting）CFA考试资讯抢先得
7 m4 l) m. y7 e" V+ q: D3 D; [
$ t2 q0 n/ w0 d4 O2 G |
|
[复制链接]
发表于 2016-1-7 09:11:45
发表于 2017-9-3 15:17:23
