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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：
& {5 G' g) L( H" z% IA. 3.85% 2 l6 a' r7 i/ X. M* |
B. 7.69% 6 V& {( H4 J+ M$ K# _+ M
C. 7.84% % \# d2 |2 W, w* c; k
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答案和详解，登录后回复可见：* B: _+ V r1 D" T1 l
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7. The U.S. Treasury spot rates are provided in the following table：
4 b/ e( N3 N( Z' c| 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?
& O! K6 H1 E/ L& UA. $100.61 & v0 m$ A$ k% X P) A
B. $102.96 * h9 }. i$ C9 y5 ~6 k- d/ ]6 {& n
C. $98.92 0 _$ ?# E5 m' Y0 j1 F
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8. Tina Mo, a fixed income analyst, is asked to value a single, default-free cash flow of $60,000. She is given the information in the following table：
. x4 O* W6 H9 j( [) _9 V$ h% F| 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: ) |$ N0 l- j1 j V8 n) c
A. $56,427 9 e" Y: p! v% A; }) r9 } @/ B. l$ I
B. $56,309
/ ^: |1 u3 ]9 g+ ^. N4 t- s$ oC. $56,276
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: y! a; l& L, X: P9. The zero-volatility spread is a measure of the spread off:：' r" m3 Q% {& d/ T# j% B4 ~/ P
A. one point on the Treasury yield curve. 8 X( Z* o( x( \$ u
B. all points on the Treasury yield curve. " x5 {+ g6 N. f5 c
C. all points on the Treasury spot curve.6 \# @; w1 q- l' h, e! n O
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8 x! ~0 W8 V2 d( X3 Q5 g7 m# m10. The U.S. Treasury spot rates are provided in the following table：
5 \. E5 N1 t- [5 K| 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: , w; d: I0 G* n- t3 B; x
A. 1.50%.
; L) S6 p5 W! M+ p" cB. 1.67%. / c8 M& H% f4 z# |9 W! z6 G
C. 1.76%.
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