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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：' R5 m2 w) y J0 I% o8 S
A. 3.85%
" A$ o" g1 \/ h9 B; o- g0 s5 D. NB. 7.69%
$ L) G: r( S, KC. 7.84% ( D( V, G! {4 M# {( m
4 i& @; m- {7 Q% S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：: v0 `' S X: c2 ]% \
| 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?
4 o1 Z' K. d6 P3 C' H+ dA. $100.61 & L9 | S& c" |; E; l
B. $102.96 " P0 A* O' q2 P7 `
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 $60,000. She is given the information in the following table：2 l+ z9 ]$ b4 g+ e" _! 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% |
; k: C3 d+ J- w$ H) IThe value of this single cash flow at the end of Period 4 is closest to: 8 A- ?3 I; m: S
A. $56,427 ) J( w" G+ a5 F, }
B. $56,309
% ^' w: a g$ o# Z8 XC. $56,276 ) ]2 E, |' e" b ?! F$ b4 A
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- n: \% `; q9 b( z: o+ j9. The zero-volatility spread is a measure of the spread off:：
; q5 z: Z# \9 G9 B! SA. one point on the Treasury yield curve. g+ M5 J& }) R! G, K
B. all points on the Treasury yield curve.
( z% g, @% `, r; |9 m G; Y( \C. all points on the Treasury spot curve.
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: [" z/ c- n; Z* |. @% |( W( F10. The U.S. Treasury spot rates are provided in the following table：" y4 Z* R2 ]% [
| 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: ) E1 c. D: b+ t/ e8 z& O1 v
A. 1.50%.
, C1 y) C. r2 T' j; _, tB. 1.67%. / i3 D+ K8 _+ b+ _
C. 1.76%.' Z! C+ i7 t3 X* ^9 r
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发表于 2016-1-7 09:11:45
发表于 2017-9-3 15:17:23
