|
|
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%
" n+ l& `# E6 P' U9 J# |; M: M& h5 o! M
答案和详解,登录后回复可见:
$ W( I0 |+ p8 H9 M f; U6 s/ H9 ^& Q, S3 K
" P5 a+ z, i# H7 _% J
+ X% A; B O0 n: U7 E7 ]& l
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
& u) Q6 x! B1 e# e% a- Z
" _# E9 v7 X1 g* }! M: d2 b1 ^8 J- E- _3 Y7 {3 c `
: ^5 a8 _ X2 J5 H
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. $56,276
- ^6 B/ U3 \4 \ \& J; \% ?0 E% T k7 r/ J- j
N, R, Q _: }$ `) C6 z( F+ H: W1 `1 k" Q# r5 X
; 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
5 ^9 s9 T% _5 ^$ T& @. C d5 y/ O3 I" q5 D: Q4 c0 u
8 ]! N( [# k- `4 i
+ 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%.
' Y& e8 f5 t: n ~ L$ F5 h# ~" `% S
: |6 k9 i5 @! Q- D% _
8 H7 W- k5 C0 a- N! n
更多CFA习题可关注:高顿CFA题库! ]4 N* t* d; E8 j$ G) c
关注微信CFA-FRM (CFAFighting)CFA考试资讯抢先得
& O0 c. n( z9 [+ s5 H: f3 n# e5 x8 R5 }) `
|
|