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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：5 u- {) u3 r' O2 e* l0 A/ ?
A. 3.85% 1 R6 W+ j; }8 _% u. ?# ]
B. 7.69%
5 m+ n T8 `$ w( d2 P9 C# `C. 7.84%
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3 j% o: k. |( j. L6 r. p答案和详解，登录后回复可见：
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3 W- q+ P% U: |3 @+ e. I+ @ J7. The U.S. Treasury spot rates are provided in the following table：9 C. d* A X0 [( i8 {3 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?
9 i5 h# b$ \. W2 j$ E) sA. $100.61 * r8 Q( K! T' b) V5 z, ?
B. $102.96
% ~1 A- o+ ~3 |+ u9 Z, L+ R, DC. $98.92
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8. Tina Mo, a fixed income analyst, is asked to value a single, default-free cash flow of $60,000. She is given the information in the following table：
. k$ Y0 y! N1 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% |
8 ^8 E' _6 ^( T D6 l& P. X& SThe value of this single cash flow at the end of Period 4 is closest to:
9 Z+ ~4 E0 r3 \& z7 k6 q8 KA. $56,427
2 k% ^7 c* }6 g: fB. $56,309
: Z% k+ V5 S: I, Q' fC. $56,276
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, R1 E/ @ T8 o( ]' W9. The zero-volatility spread is a measure of the spread off:：
" T# k( B" X/ `* U6 lA. one point on the Treasury yield curve. ) X1 I1 l9 e$ b% D: {5 n
B. all points on the Treasury yield curve.
7 i# g$ Z7 r$ UC. all points on the Treasury spot curve.
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10. The U.S. Treasury spot rates are provided in the following table：
6 X' D+ _3 e4 c* a- _$ [, [# u; k6 X| 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 $89.464. Given the YTM of a 3-year Treasury is 12%, the Z- spread of the corporate bond is closest to:
( L8 G# a s+ w7 e7 k2 a7 SA. 1.50%. 2 b# U) L6 C$ O6 @. t9 r' u4 v
B. 1.67%.
! `3 Y$ n: X$ ^8 O" ]+ XC. 1.76%.
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发表于 2016-1-7 09:11:45
发表于 2017-9-3 15:17:23
