|
|
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：/ T5 y" d7 S8 Q/ E. A0 V7 m. F$ C" R
A. 3.85%
% v! C# l6 O& S1 L# B4 A2 U# LB. 7.69%
; E) t7 W* v, z+ j6 N- e5 R9 pC. 7.84% / [9 k. _" Y! N, f! e1 Z
- z+ p/ x; C& V2 G# [2 {9 p4 |* Z$ B
答案和详解，登录后回复可见：
; j g! R( T" r" [
* w1 e5 n. u' E4 ?/ J Q) x3 R" `8 R @& T
% w) `# _6 i: e( c7. The U.S. Treasury spot rates are provided in the following table：2 M' n5 j& x! |" |1 }2 f& R/ i) R
| 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? % W0 _+ Y9 C0 z. T, Y
A. $100.61 1 v: P' p: Y4 o6 i3 K" _
B. $102.96 : W# A T m; h3 B2 q* j
C. $98.92
' F9 T, H1 G- [$ G: [, U
7 {" p7 t9 U4 t, d6 g6 s; C$ | y F4 |9 U( @9 ^: y
" K3 }2 B0 r9 c$ G
- t8 x* ?1 R4 T; G" i8. Tina Mo, a fixed income analyst, is asked to value a single, default-free cash flow of $60,000. She is given the information in the following table：
( p$ f A, A+ I5 D( _( c5 m O| 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% |
& e: c5 _/ J% j. v0 D% z. ~$ QThe value of this single cash flow at the end of Period 4 is closest to:
* W ^# l) W" Q- b p& L. q9 ?A. $56,427 7 G( G6 J/ P" W
B. $56,309
( n) p! a) R; I: i' [2 HC. $56,276 1 L* F* N5 y8 T# k! F
5 `) d& L6 Y% @3 \% K% ]2 e' x
1 {+ k/ B1 z' ^" t+ w/ x* q* a+ K
0 ^6 |& }7 s# z% e4 P9 y6 ^& }, s# w5 u
9. The zero-volatility spread is a measure of the spread off:：/ D5 t" y7 I$ n4 u" ?* P
A. one point on the Treasury yield curve. ( x* v s3 l' J1 Q/ r1 \
B. all points on the Treasury yield curve.
5 T8 L2 k; r- I1 p% S% h; P2 sC. all points on the Treasury spot curve.3 o( g4 b! B/ f8 V' E
# Q* b" I0 k; ^0 |$ T/ S; b) d& H$ Z* Q
" g/ C }( f: [4 S0 S
% h5 @( ]& }! o* K4 X10. The U.S. Treasury spot rates are provided in the following table：
, ` G$ L) D, n4 x( V1 }| 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 $89.464. Given the YTM of a 3-year Treasury is 12%, the Z- spread of the corporate bond is closest to: , P$ a1 a, [8 l- y8 K# K( z) R" e
A. 1.50%. , v0 d# x4 o" p6 R
B. 1.67%.
- w+ q2 v. t/ U1 K! }5 oC. 1.76%.
. d0 K- U) m! Y7 K
7 C& R" A- r* P7 j9 c
( D$ F$ L% H7 B+ B) c; @
) U/ [$ G* M0 S3 A7 I0 o更多CFA习题可关注：高顿CFA题库% e; Y7 v5 J; ?" q( M: I/ T- B& u+ g. F
关注微信CFA-FRM （CFAFighting）CFA考试资讯抢先得
% Z; A1 H0 e9 k2 r/ d' X" R# G1 v; h% ?: Z1 R/ _
|
|
[复制链接]
发表于 2016-1-7 09:11:45
发表于 2017-9-3 15:17:23
