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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：
G( r7 s% \" p9 t0 GA. 3.85% % u& ?0 L% v/ W8 a
B. 7.69%
, g8 A& H7 _. X3 E' s+ U* SC. 7.84% ! m% c% C& ?* l! K
( F! t8 q7 O8 J+ U答案和详解，登录后回复可见：- m0 }% e5 M9 X: k" E, P
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7. The U.S. Treasury spot rates are provided in the following table：
9 u. Z I' O& {7 q4 k6 J| 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?
! d" ^: n! h2 e7 D% V- F4 NA. $100.61 0 [7 s2 @ i9 d
B. $102.96
+ C0 [# n+ B- \0 ] B) ]/ K6 Q! gC. $98.92
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8 m8 U6 u! @+ c8. Tina Mo, a fixed income analyst, is asked to value a single, default-free cash flow of $60,000. She is given the information in the following table：
8 h' J' @1 h9 A0 h8 l$ |/ U- ?| 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% |
) Z+ t! v: b5 A+ J) s& S$ u9 ]The value of this single cash flow at the end of Period 4 is closest to:
, u' B& h0 C3 ~. l. G0 Q r' n0 R4 W- mA. $56,427 $ p+ E# I! A5 A9 v' [/ C
B. $56,309 # n% q+ j7 Q+ t- n
C. $56,276 4 i' i7 C9 n' X7 T5 o( p, s2 g
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$ Y' V( c* i* E. q: s+ e9. The zero-volatility spread is a measure of the spread off:：
* l8 {: L1 p/ zA. one point on the Treasury yield curve. ( w* J& s5 X1 U5 \. C8 x
B. all points on the Treasury yield curve.
/ x, `; U8 ~ h2 zC. all points on the Treasury spot curve.7 x; Y M0 P$ K& M
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10. The U.S. Treasury spot rates are provided in the following table：
0 h6 z' J* v, f, S0 ?| 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: ; \0 w; a d2 i
A. 1.50%.
/ b6 ]5 Z/ _% SB. 1.67%.
8 r+ {" B2 Q* G1 ZC. 1.76%.
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发表于 2016-1-7 09:11:45
发表于 2017-9-3 15:17:23
