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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/ [- i" ^/ e8 n
A. 3.85% , m# [" Y* b' m( x& k
B. 7.69%
* s9 \" |- v0 B& K2 ~. nC. 7.84%
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a8 y% }/ C, j9 H5 R U7 W答案和详解，登录后回复可见：
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0 w1 X4 d4 `" g0 L+ h) `; z7. The U.S. Treasury spot rates are provided in the following table：5 }0 `! ` V! C1 z, s
| 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?
- H- h. \$ I' lA. $100.61
- O, X5 W4 m' @( t! Y% d- hB. $102.96 6 S1 X5 z' G4 A9 `
C. $98.92 " `7 v T. d0 h+ o+ ]
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$ T; F& o" C6 ] H( }/ h; N8. Tina Mo, a fixed income analyst, is asked to value a single, default-free cash flow of $60,000. She is given the information in the following table：( A0 h: p1 i' o" r+ `4 a7 c5 @
| Period | Years | Annual Par Yield to Maturity BEY | Theoretical Spot Rate BEY | 6-month Forward Rates BEY | | 1 | 0.5 | 2.00% | 2.00% | 2.00% | | 2 | 1.0 | 2.40% | 2.40% | 2.71% | | 3 | 1.5 | 2.70% | 2.71% | 3.12% | | 4 | 2.0 | 3.20% | 3.23% | 4.55% |
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The value of this single cash flow at the end of Period 4 is closest to:
: f/ Q l( X8 h4 ~$ i5 @$ ]6 y9 mA. $56,427 ; v+ Y6 k8 u6 W5 [" _
B. $56,309
e+ o& {. Z, [" |5 o2 Y' ?, ~C. $56,276 5 D0 v& t( \+ X# ^% j; V
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0 Z& c! X8 @4 V& f+ j9. The zero-volatility spread is a measure of the spread off:：' I6 p3 C5 ? @
A. one point on the Treasury yield curve.
, y+ n- M, X% pB. all points on the Treasury yield curve.
1 y9 m6 W! ^+ V! L" o0 iC. all points on the Treasury spot curve.
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+ {$ T; S4 t& z4 y1 z* r% m R6 G10. The U.S. Treasury spot rates are provided in the following table：8 K9 ^+ c: G0 t" y& g# k
| 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:
! D4 m/ P6 D0 l0 p+ v3 NA. 1.50%. 6 L4 t8 C y; E
B. 1.67%.
7 f7 S8 x& Y0 Y0 j( R& _' @: WC. 1.76%.
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发表于 2016-1-7 09:11:45
发表于 2017-9-3 15:17:23
