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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：
2 H# K3 A. X( jA. 3.85% 6 `7 q+ M3 @3 W7 g
B. 7.69% " o3 d( K- Z$ {. h5 _
C. 7.84%
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答案和详解，登录后回复可见：
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! Q: F$ |3 [: ]& ^3 ]( y, G7. The U.S. Treasury spot rates are provided in the following table：" |* q0 }5 m: y: J, T3 e/ T
| 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 ~$ r) I8 ]& A, L( s. JA. $100.61
6 C4 d) ^9 d. X8 M: X% e6 A* d9 WB. $102.96 1 j0 B+ v ?$ m" C: `: i
C. $98.92
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7 j2 z- I1 h* X6 }8. Tina Mo, a fixed income analyst, is asked to value a single, default-free cash flow of $60,000. She is given the information in the following table：# z# ~3 Q1 o. e* J
| Period | Years | Annual Par Yield to Maturity BEY | Theoretical Spot Rate BEY | 6-month Forward Rates BEY | | 1 | 0.5 | 2.00% | 2.00% | 2.00% | | 2 | 1.0 | 2.40% | 2.40% | 2.71% | | 3 | 1.5 | 2.70% | 2.71% | 3.12% | | 4 | 2.0 | 3.20% | 3.23% | 4.55% |
0 R' k6 M, c# J$ ?4 y" X( Z. PThe value of this single cash flow at the end of Period 4 is closest to: * K; s5 h, m4 x* v
A. $56,427
+ _2 R- ^- w( \6 y7 s7 ZB. $56,309
" v6 s. H. T5 X0 y" SC. $56,276 4 N- d+ |- d" @; S* W
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8 A, M* y$ V/ b6 @9. The zero-volatility spread is a measure of the spread off:：
Z2 s$ d' c; YA. one point on the Treasury yield curve.
2 g$ {4 o* m: D" N/ D! ^) rB. all points on the Treasury yield curve. q: A& Q" M8 G% s$ R0 p
C. all points on the Treasury spot curve.% {5 Q8 f3 A0 |7 R
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10. The U.S. Treasury spot rates are provided in the following table：
. p; ~' O, J+ W| 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 $89.464. Given the YTM of a 3-year Treasury is 12%, the Z- spread of the corporate bond is closest to:
. e% T; A8 r, DA. 1.50%.
" h0 q# F5 |/ T v$ N' Z/ JB. 1.67%. $ S2 \0 `) {0 X: W0 ]& i! y+ ]
C. 1.76%.
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发表于 2016-1-7 09:11:45
发表于 2017-9-3 15:17:23
