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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：' ~ f# b* \' E$ K7 F2 g
A. 3.85% ' ^, T- l4 D& q+ H4 U
B. 7.69% & m) U% z! d; r0 ]+ o5 Q
C. 7.84%
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答案和详解，登录后回复可见：
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7. The U.S. Treasury spot rates are provided in the following table：
' K5 ]: z% n! \| 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? 9 Z2 n9 R; k m: d& ~ f4 ~8 B
A. $100.61 ! Z/ w8 N) ?8 O1 Y. r6 [% n* f$ N
B. $102.96 / Y3 }* x. A. E& J9 I5 F8 r
C. $98.92
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5 ?2 Y; @+ T8 F. i6 \5 k& _8. Tina Mo, a fixed income analyst, is asked to value a single, default-free cash flow of $60,000. She is given the information in the following table：
( w% P N7 l- _2 S0 X| Period | Years | Annual Par Yield to Maturity BEY | Theoretical Spot Rate BEY | 6-month Forward Rates BEY | | 1 | 0.5 | 2.00% | 2.00% | 2.00% | | 2 | 1.0 | 2.40% | 2.40% | 2.71% | | 3 | 1.5 | 2.70% | 2.71% | 3.12% | | 4 | 2.0 | 3.20% | 3.23% | 4.55% |
, b3 }2 O% Y3 d$ j5 e" ZThe value of this single cash flow at the end of Period 4 is closest to:
0 j% O2 K; m5 }7 e8 t* E+ G& }) VA. $56,427
' f: o0 s# q" }+ g: iB. $56,309
* T, A! ^' O, n L5 @ i- nC. $56,276
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; M8 O: l- ^% ]/ |8 Z9. The zero-volatility spread is a measure of the spread off:：
, A/ n Z3 j) D; I) X$ }% |A. one point on the Treasury yield curve. - G5 L! g A: r
B. all points on the Treasury yield curve. 5 L0 B' U- y* j
C. all points on the Treasury spot curve.4 H% k1 k' H3 U- w& F
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+ Y0 C ^% x. D& b0 r& I10. The U.S. Treasury spot rates are provided in the following table：# P5 ], b/ u1 c5 {
| 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:
" k2 \) ?( B) H& eA. 1.50%.
{7 m0 ?5 P$ oB. 1.67%. " N" B' J& J, z2 c$ b
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
