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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：, x. o( E* K( o. i N* b/ _
A. 3.85%
9 e8 }( Q2 q5 q( y2 I5 F* JB. 7.69% 8 t i6 U. [7 q
C. 7.84% 2 E& p5 x {4 K
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答案和详解，登录后回复可见：9 a: U9 [9 T9 \3 J" R! i3 B8 ^
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7. The U.S. Treasury spot rates are provided in the following table：1 Z, A9 i# Y. x
| 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? " q# }5 O" o3 ~
A. $100.61
4 A6 ]* O5 k" Z1 @# r9 IB. $102.96 % M8 B! p, x9 s9 L
C. $98.92
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9 T% ~$ G# u& m- R% y! E8. 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：& `" L, [1 I/ ~" M
| 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% |
# O- {. C4 \" ~The value of this single cash flow at the end of Period 4 is closest to:
6 l0 u9 N l7 ]) @6 `A. $56,427 . w$ ^, }6 ]" D9 I
B. $56,309 4 m0 H) _) @+ W
C. $56,276 3 y0 A2 V! u9 r8 i V" ]8 U6 p
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9. The zero-volatility spread is a measure of the spread off:：
6 e, [8 S; u) c! l, g) MA. one point on the Treasury yield curve. 9 U _9 Z# }" q7 c
B. all points on the Treasury yield curve.
4 n( m! U3 ~, t L" Q. @6 ZC. all points on the Treasury spot curve.: t) c2 G4 ^6 @3 v& F
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10. The U.S. Treasury spot rates are provided in the following table：
8 p& c! K# i- s| 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: 3 q3 ?& o& R8 v% K. u2 d5 e
A. 1.50%.
* P% o" j. r+ N! _9 g" X tB. 1.67%.
: j3 E% p8 d1 M# V9 a: T- KC. 1.76%.
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发表于 2016-1-7 09:11:45
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