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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：
1 O& d. T6 t* b4 q+ I2 g! bA. 3.85%
" m5 L% [4 A( M- Y" MB. 7.69% 0 n S) \- b5 H* _( R
C. 7.84%
3 i8 S/ M% N* v$ Z! W
- \7 [. I3 }$ V* w答案和详解，登录后回复可见：" E3 R. ?" r2 D$ t4 T
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# e' ?: h$ s5 C1 T$ T7. The U.S. Treasury spot rates are provided in the following table：: q' G1 \0 o3 w& x: F2 P/ r1 w
| 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 V4 V; L! uA. $100.61
+ o" k" H! w* o" h# g: Q0 |( n8 ~* W4 hB. $102.96
" [" u% E. Y" Q$ ~. BC. $98.92 8 H# C$ P- E5 C. a) e8 ~
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+ V( R, F3 d+ |# A- H: D- K/ G8. 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：
9 d9 K3 z1 i& M7 Y, w& H| 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% |
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The value of this single cash flow at the end of Period 4 is closest to:
4 [5 P9 N; q* n4 I1 AA. $56,427 0 I/ I: C7 n/ i! ?
B. $56,309 - V; d4 b/ L: g( f0 ^ Z, l7 F
C. $56,276 & \; Z# p0 C; m3 c4 Q& ~" n- T' O
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+ }. h. j& ~" u6 u9. The zero-volatility spread is a measure of the spread off:：. D9 p3 Y' @3 D& ]
A. one point on the Treasury yield curve.
! ^ z, f1 o! S3 {B. all points on the Treasury yield curve.
! T6 y7 G4 i! B! wC. all points on the Treasury spot curve.. O' f D$ m) U" { d% \ y
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/ w8 M9 t( ~2 ^1 @8 s10. The U.S. Treasury spot rates are provided in the following table：1 g* c; G% T: X" D- z3 ]
| 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 $89.464. Given the YTM of a 3-year Treasury is 12%, the Z- spread of the corporate bond is closest to:
+ }8 E4 i" K' s2 q% l% d# n8 CA. 1.50%. d4 ^8 b$ }4 l. r+ T* C
B. 1.67%.
4 B9 a: q8 ?1 k7 }C. 1.76%.$ J: C& o3 S4 H3 p. B, w$ Y
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发表于 2016-1-7 09:11:45
发表于 2017-9-3 15:17:23
