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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：
|. a- ~7 k* U) m2 f |& [A. 3.85%
5 O, T0 V% W* I7 |$ q, HB. 7.69%
8 {+ x( Q9 |& NC. 7.84%
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答案和详解，登录后回复可见：* V/ g& w6 `, [$ i) |
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7. The U.S. Treasury spot rates are provided in the following table：# i" \7 A9 B, w; r- p/ L, L
| 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?
- \) y9 O' s+ T, J- a5 gA. $100.61
$ ]. O8 Z1 c% p$ t8 i( [B. $102.96
9 G$ U) {% \) L) X, [C. $98.92 4 [1 _# A" r- {( X3 C* H' D
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8. Tina Mo, a fixed income analyst, is asked to value a single, default-free cash flow of $60,000. She is given the information in the following table：
6 _" }6 E" b1 ^, u. j| Period | Years | Annual Par Yield to Maturity BEY | Theoretical Spot Rate BEY | 6-month Forward Rates BEY | | 1 | 0.5 | 2.00% | 2.00% | 2.00% | | 2 | 1.0 | 2.40% | 2.40% | 2.71% | | 3 | 1.5 | 2.70% | 2.71% | 3.12% | | 4 | 2.0 | 3.20% | 3.23% | 4.55% |
1 B) z! P1 K8 B8 Q- |. Q. ` x+ nThe value of this single cash flow at the end of Period 4 is closest to:
% n+ {! _* I7 }) j# k5 C5 q" g9 A3 j$ [" qA. $56,427
' w! N# ^( L a( ~3 [B. $56,309 , K2 ]( z# x6 O) Y+ ?$ ~% J
C. $56,276
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# s" j4 K$ c+ ~; W! A* Y/ ^* t9. The zero-volatility spread is a measure of the spread off:：3 A1 P# ]/ S! K5 l2 L
A. one point on the Treasury yield curve. ; J3 J2 V7 h$ g$ J# o7 B
B. all points on the Treasury yield curve. 5 H3 c# E9 ?% r
C. all points on the Treasury spot curve.+ h5 I4 a y$ q9 i: X! Y
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' U2 T3 p( F7 \6 ~; F, @( f5 i10. The U.S. Treasury spot rates are provided in the following table：
$ P3 L5 k$ x3 O% V| 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 $89.464. Given the YTM of a 3-year Treasury is 12%, the Z- spread of the corporate bond is closest to:
+ t, e; T3 O9 @0 m* R$ [2 [" FA. 1.50%. . F( V$ t* x8 _6 X K
B. 1.67%. # |! n$ e/ T2 R5 A
C. 1.76%.
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发表于 2016-1-7 09:11:45
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