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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：/ a$ K0 h% c5 z; m( L
A. 3.85%
- I1 o5 z5 M) l* H. W8 Z7 x- PB. 7.69%
5 m2 W7 G6 d" l" n7 K& j2 GC. 7.84% & A7 U: r+ E, J, d# p( C" m6 o
3 t+ h& c. t; g" R+ r* F答案和详解，登录后回复可见：
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$ |6 L/ C2 X. ?# ^- {7 @7. The U.S. Treasury spot rates are provided in the following table：
- R' |$ s& e. C$ L1 Y/ w, {| 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?
8 \/ s5 {, X% F, RA. $100.61
) o3 m) w; h; KB. $102.96
5 E) N Z M* n' p6 ^C. $98.92
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9 J" U/ j% [7 Q3 S8. Tina Mo, a fixed income analyst, is asked to value a single, default-free cash flow of $60,000. She is given the information in the following table：" ~' \5 U+ q2 E' h: \
| Period | Years | Annual Par Yield to Maturity BEY | Theoretical Spot Rate BEY | 6-month Forward Rates BEY | | 1 | 0.5 | 2.00% | 2.00% | 2.00% | | 2 | 1.0 | 2.40% | 2.40% | 2.71% | | 3 | 1.5 | 2.70% | 2.71% | 3.12% | | 4 | 2.0 | 3.20% | 3.23% | 4.55% |
" R, X$ C* Q; T6 R6 I3 q' JThe value of this single cash flow at the end of Period 4 is closest to:
+ ? z3 Q U# Y8 [% t! OA. $56,427 1 A, x. x, @* s( I8 ^
B. $56,309 # U! b3 T3 a, y. u
C. $56,276
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9. The zero-volatility spread is a measure of the spread off:：
+ l3 [/ `. e( ?% u6 }A. one point on the Treasury yield curve. 7 \0 ]) \; g/ R8 x' n- }( t) j+ p: b
B. all points on the Treasury yield curve.
( A+ L# ~( b4 f% kC. all points on the Treasury spot curve.
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, x; z$ c5 E/ r6 p2 k5 i0 J# C6 u10. The U.S. Treasury spot rates are provided in the following table：
. E/ v9 i5 E1 g+ b# }+ w' 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: 5 ]9 T) L2 a- b) n5 _4 w, w0 W+ n
A. 1.50%.
$ l( P% C) Y# e. |! gB. 1.67%.
9 a/ d# Q8 j2 M- A$ k9 {C. 1.76%./ b4 t& k4 M, B6 W
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发表于 2016-1-7 09:11:45
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