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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：
# Z% v8 p5 f% }5 uA. 3.85%
( T/ a! v) m- a* [) S7 V# a- }0 DB. 7.69% , m1 m r/ ~1 N
C. 7.84% " u! `3 _4 P( l6 B+ {& h
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7. The U.S. Treasury spot rates are provided in the following table：5 [. @6 O4 t- C) Z A( f
| 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? 3 y8 h R5 O- Y$ y
A. $100.61
! l+ f/ A4 e# V; \( ~B. $102.96
/ h3 D q! x3 u+ H$ \8 D0 d8 y& @C. $98.92
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9 c" ?; H8 h7 Q0 ~6 b& K; M8. 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：& y! a8 m* |* b# c S1 A* W
| 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% |
% Z# g2 l- g5 E6 n4 dThe value of this single cash flow at the end of Period 4 is closest to: & Z- z# O4 S+ \, s; q( K& b
A. $56,427
7 I6 Z4 b; M: s7 pB. $56,309
( r# ~0 @8 ^6 N0 x9 c. N' hC. $56,276
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9. The zero-volatility spread is a measure of the spread off:：# D. o% v7 U! i& ] ^
A. one point on the Treasury yield curve.
: Q$ I$ c. t) ]) I# GB. all points on the Treasury yield curve. ; E, d8 s+ J, z
C. all points on the Treasury spot curve.
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: { G6 }) a8 n* r10. The U.S. Treasury spot rates are provided in the following table：
( W% ` T0 L+ e% R| 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 $89.464. Given the YTM of a 3-year Treasury is 12%, the Z- spread of the corporate bond is closest to: : G: B. l/ G1 l' _% i; u
A. 1.50%.
+ l" C6 _# i' A( D3 L' XB. 1.67%. 7 `. X0 Z6 D+ K7 D, V
C. 1.76%.) h b$ [& J: e9 i0 T; @
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发表于 2016-1-7 09:11:45
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