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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：) U9 o6 F& b" a; F3 \
A. 3.85% : _& V2 P2 e% O" x$ B: x
B. 7.69%
6 v+ B" s7 F+ ?: i MC. 7.84%
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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：
' G3 h& G4 K% T7 T v| 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? / m! h9 m$ X$ }7 Y* Z3 s2 K, }
A. $100.61 ! C8 u: I/ ]. t5 J' f
B. $102.96 7 i, i* l! H; [, |% n! ]2 I
C. $98.92 - M9 q* O0 e: F* x% _% E# I
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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：
8 k5 B! u# L. f4 g| 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% |
5 f- O# z5 K; w3 u5 j' X' eThe value of this single cash flow at the end of Period 4 is closest to: , _0 ^' U% {' K& h% M& C
A. $56,427
8 H# @ r# S4 O8 s: MB. $56,309
: `$ g+ ]' r# T6 [7 `0 bC. $56,276
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9 j3 ]0 R6 C- V, \. e8 `& B9. The zero-volatility spread is a measure of the spread off:：+ D# L* V$ m' a3 f, H5 l
A. one point on the Treasury yield curve.
! @8 B, f( G$ ? E: O) YB. all points on the Treasury yield curve. ; P& T+ j- g* `3 J( ]) l1 [
C. all points on the Treasury spot curve.9 N/ l' z; A& J/ I- a- S
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10. The U.S. Treasury spot rates are provided in the following table：" ~# A8 z5 ~* R* W# n, ?
| 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:
: B7 o) x+ _5 QA. 1.50%. 2 K/ `+ s6 U& K
B. 1.67%. . J) e% B* M0 C, R( _
C. 1.76%.
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发表于 2016-1-7 09:11:45
发表于 2017-9-3 15:17:23
