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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:
0 u+ H" H- R3 m/ a! qA. 3.85%
& R( Z( m* N# N/ ^B. 7.69% , ^( Q$ C1 }) ]5 r" I+ _+ W
C. 7.84% ; i" B( H: m" j) W
7 z2 ~2 t& L; x. |! Q; E答案和详解,登录后回复可见:0 C! z) D' Y0 j7 p' y7 d6 S. {2 P
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' I* A) l+ U. T$ j) C7. The U.S. Treasury spot rates are provided in the following table:2 T' L- J5 w, z# U2 _% d, Q3 D
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?
& j+ |( }: g9 @; ?1 ]6 lA. $100.61
! d9 W% I# m2 M0 @3 s2 z7 X/ KB. $102.96
( X G8 f4 S K: V4 n8 fC. $98.92 - M3 M- j( W1 b- \# ]( v
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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:+ ~# K& P8 T' W z, X, p7 Q
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% |
, v' E. \( s! R! R( |0 |( gThe value of this single cash flow at the end of Period 4 is closest to:
4 r. ~9 C9 O5 x# a; dA. $56,427
5 s9 }7 t+ K: h( W) u/ ZB. $56,309
9 f4 M' D" C1 | aC. $56,276 ' X5 k2 @( `4 _; F" F; P% w: h
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; K' Q) a) v t; T9. The zero-volatility spread is a measure of the spread off::3 b8 k8 t1 n( b, `( X8 i
A. one point on the Treasury yield curve.
+ P+ {, v- s1 } I3 wB. all points on the Treasury yield curve.
* Z6 K" Q, W' ^1 N$ _0 R" cC. all points on the Treasury spot curve. ]2 x5 G7 u) W$ o) s
* s/ E z* D( m9 z" R8 {1 @/ O+ W4 |0 c# j" W
* R% q9 Y. M4 M% }; T
7 d3 k8 N g9 ]+ @/ V10. The U.S. Treasury spot rates are provided in the following table:- B' C- K, L2 E* M5 c
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 $89.464. Given the YTM of a 3-year Treasury is 12%, the Z- spread of the corporate bond is closest to: 5 l6 J& {! L: M4 s
A. 1.50%. 9 Z8 M1 E% o# p
B. 1.67%.
- x; K$ |6 x y# ^. g$ PC. 1.76%.
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