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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：
+ M* T2 }' T2 L* J$ `# gA. 3.85% ( P# `/ _7 t3 X. |4 X3 H
B. 7.69%
+ @5 }- R5 o7 H" t2 r3 [8 KC. 7.84% ; T/ @; ^% T" K
1 t ^6 G! E) L答案和详解，登录后回复可见：
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7. The U.S. Treasury spot rates are provided in the following table：
3 n! @, q' @/ p5 v& K| 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? - E0 u6 b) A- j
A. $100.61 : M) T$ w' k# Z) \# d
B. $102.96
0 v% Y' `% U1 p5 y* `8 N1 e9 BC. $98.92 ( s v$ Y4 H3 ~$ s/ }7 F
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8 r$ L6 ?1 @- K9 N; L8. 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：& A6 |' a( b: [" v
| 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% |
$ P; E2 H" I; [# J, y1 gThe value of this single cash flow at the end of Period 4 is closest to: & B3 [- M9 M" F2 d
A. $56,427 c Z1 Z% V9 F! x' ?: W; S
B. $56,309 ; }6 E) L* o' ?: K7 O* I* l
C. $56,276 ; n5 E1 g$ k. h0 ^# K2 q
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- J2 l( W$ o Z9 C9. The zero-volatility spread is a measure of the spread off:：
3 ~6 J( p" K, u% A/ T: s' H9 SA. one point on the Treasury yield curve.
+ l# G n) I9 sB. all points on the Treasury yield curve. + Y3 F& q4 P2 S, c* N9 z. J. w
C. all points on the Treasury spot curve.
9 Z( C# d! }- m7 k' Z
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10. The U.S. Treasury spot rates are provided in the following table：/ c7 |, }" q y( Y: O
| 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 $89.464. Given the YTM of a 3-year Treasury is 12%, the Z- spread of the corporate bond is closest to:
. h; I- T8 P6 H8 u/ r& x: b/ UA. 1.50%. + Y3 l. F; M8 S9 ~0 l" H+ q& x1 X( _
B. 1.67%.
+ Y) C# J$ s# s% bC. 1.76%.
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发表于 2016-1-7 09:11:45
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