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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:
4 y6 {* T9 C- Y' h2 L- `0 bA. 3.85% ( @, S9 g8 u5 r$ `- r
B. 7.69%
% h) L& {, y0 y" ]8 OC. 7.84% % ^. c+ k1 j# i' O
( z' l6 v+ j" h" U5 P2 H答案和详解,登录后回复可见:# M7 w" a2 b7 i$ E, a2 f/ O7 o
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4 s/ L5 {5 k5 o6 v8 w7. The U.S. Treasury spot rates are provided in the following table:
J3 S6 s& l' O, _ c8 ^2 z| 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? 6 Y2 X* N* w: p* B. K) ~/ h
A. $100.61
5 {. y" k" U# J) x+ W9 f/ yB. $102.96
1 f F0 {7 G6 a, ^3 k, _C. $98.92
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8. Tina Mo, a fixed income analyst, is asked to value a single, default-free cash flow of $60,000. She is given the information in the following table:
7 h6 ^. |$ K8 A) X/ b5 p; k| 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% |
( D) ?0 N7 Q9 i. j# p5 tThe value of this single cash flow at the end of Period 4 is closest to: ( ~ F1 K, \( l* l7 t
A. $56,427
' m/ I( {, r; G1 s# t! [( MB. $56,309
: M9 H8 T; U. IC. $56,276
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4 I/ X2 v U1 d8 }' U7 n/ G9. The zero-volatility spread is a measure of the spread off::
, f) c6 J: [% _' SA. one point on the Treasury yield curve. " r; _( l7 j8 `" _
B. all points on the Treasury yield curve.
; y8 A5 v- _) l: z: KC. all points on the Treasury spot curve.
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+ U/ k- U0 B% a: x10. The U.S. Treasury spot rates are provided in the following table:) A; b$ ] K( K* W3 z
| 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:
' |6 c8 a5 Y; I! {A. 1.50%.
4 ^2 {5 L& E* x" N& Y9 B) O# LB. 1.67%. 6 q- x% m, X+ E4 `/ T( Q
C. 1.76%.; u" C) Y6 l B2 G, e% b
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