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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：- g3 u) v( b( Q1 e5 R
A. 3.85%
. C& q/ @0 _$ `7 N4 ]9 V0 |B. 7.69%
4 `/ G, t/ Q2 [C. 7.84% " J( W# z8 }( d3 T1 m; }
7 x* I5 g9 g/ m; K答案和详解，登录后回复可见：6 c% H* ]! c2 w3 O {3 ?4 W
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7. The U.S. Treasury spot rates are provided in the following table：; P0 ~! M1 |: c. g
| 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?
1 c: P, i( X k ]9 y- wA. $100.61
( |9 K* b# q0 x. O3 Z" EB. $102.96 6 \( y" [1 F/ H$ s
C. $98.92
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" r# E @, l3 c( D8. Tina Mo, a fixed income analyst, is asked to value a single, default-free cash flow of $60,000. She is given the information in the following table：+ e9 E4 N& u5 Y
| Period | Years | Annual Par Yield to Maturity BEY | Theoretical Spot Rate BEY | 6-month Forward Rates BEY | | 1 | 0.5 | 2.00% | 2.00% | 2.00% | | 2 | 1.0 | 2.40% | 2.40% | 2.71% | | 3 | 1.5 | 2.70% | 2.71% | 3.12% | | 4 | 2.0 | 3.20% | 3.23% | 4.55% |
: U2 W, m' U& W4 i' g9 oThe value of this single cash flow at the end of Period 4 is closest to:
+ h$ r5 T: X; ^& P# a, i$ cA. $56,427
3 g/ Q3 }5 L# ^2 @: W* Y# rB. $56,309 6 J6 M5 v" a9 x3 a; o
C. $56,276 r# ~" C/ I" R i7 q1 k# U
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U, u+ B8 A1 U4 K0 V p9. The zero-volatility spread is a measure of the spread off:：
; z2 \. K* W0 @! s# S6 Z! AA. one point on the Treasury yield curve.
' Z9 z9 q3 N- I# g. `$ ]B. all points on the Treasury yield curve.
) l; S% z' E; ^! G9 o) d; lC. all points on the Treasury spot curve.
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. `( R8 b a5 i9 L" f* Q10. The U.S. Treasury spot rates are provided in the following table：
5 r, I F+ T$ Z( M, h0 ~2 {9 K5 D+ x# U" f| 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 Y) ~" m; [& ?) z5 C* e0 ?1 C
A. 1.50%. & H1 E) r& @3 M0 q; s
B. 1.67%. 2 W* u# m* t* X( S
C. 1.76%.
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发表于 2016-1-7 09:11:45
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