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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 N0 P3 h# m6 O( o' M5 \2 V- ?
A. 3.85%
/ G6 M3 W" d o" d TB. 7.69% 9 L1 Z3 V t6 f+ c# [
C. 7.84%
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答案和详解，登录后回复可见：
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. B) T. E* }+ E( B( w0 f( z# v7. The U.S. Treasury spot rates are provided in the following table：
, K3 q2 i& C; K8 n/ J3 X' t| 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 E) G$ J2 @4 p& b+ I* v
A. $100.61 & Q& R* g- S" D! M- Q; [
B. $102.96
0 ~( q* [6 H5 [# i5 ]& EC. $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：
& g! M% l l8 b0 N, [* k. W8 r| 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# l0 e9 R1 HThe value of this single cash flow at the end of Period 4 is closest to: 8 M4 h0 p ?( t1 n. H+ A. e4 F/ r
A. $56,427
* S! G3 T2 D9 b7 p0 V4 f) ]( lB. $56,309 C/ S; h, w% F
C. $56,276
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" W7 S; M5 B$ Y; D9. The zero-volatility spread is a measure of the spread off:：5 P" |$ @7 V/ a
A. one point on the Treasury yield curve.
/ w9 p. p! T! X5 e& f: P, X/ wB. all points on the Treasury yield curve.
, f3 t0 Q3 P( b% ~6 ?C. all points on the Treasury spot curve.
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10. The U.S. Treasury spot rates are provided in the following table：
: M0 r) `( @: Q. Q: k e" k; I( P4 A% ]| 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 $89.464. Given the YTM of a 3-year Treasury is 12%, the Z- spread of the corporate bond is closest to: & W7 u7 y( l+ G3 P, `$ i Z
A. 1.50%.
7 `7 @& ?& q5 q" L; S4 zB. 1.67%.
+ ]* u+ I" w U7 F' W kC. 1.76%.5 b% l' T! G& _7 h6 }
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发表于 2016-1-7 09:11:45
发表于 2017-9-3 15:17:23
