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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：8 U5 F/ |8 _( e7 H6 \2 e4 T0 L# H
A. 3.85% + b Y! ] H. p8 a( t2 Q2 f) G
B. 7.69%
7 |% h; S! U, n# c2 |9 IC. 7.84% 3 r: u' K7 |0 l4 ]* c( A! i( g
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答案和详解，登录后回复可见：
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?& V( z( N' b( S/ I7. The U.S. Treasury spot rates are provided in the following table：8 X$ [8 v4 d" ?# 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? ; D8 V% [& X# H: z2 V
A. $100.61
; o3 u$ K: n3 f$ sB. $102.96
: n* _/ X% V! T, r9 `C. $98.92 # m' l% \% O' A& n u: ^7 c
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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：7 |& }# e* c6 ]7 g( s1 X. P2 h A2 ^
| 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:
' R/ p% F+ E8 `* `' fA. $56,427 , I9 ~9 F/ N! @6 |5 t* x' H
B. $56,309
; O' C; ~: b/ s- iC. $56,276
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9. The zero-volatility spread is a measure of the spread off:：
2 [2 N" D) K! i1 `# IA. one point on the Treasury yield curve.
* c8 `( }2 m5 b* D/ o" jB. all points on the Treasury yield curve.
; v9 k2 F% `* o) Y/ b; v4 ~: nC. all points on the Treasury spot curve. M1 E4 C# h) C, A9 z/ c. X2 w2 ?9 o4 I/ r
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10. The U.S. Treasury spot rates are provided in the following table：3 D4 i0 T2 o* m& ]) ~- B7 I8 Z
| 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 $89.464. Given the YTM of a 3-year Treasury is 12%, the Z- spread of the corporate bond is closest to:
; I# R2 F, j' x& e: N/ { C* yA. 1.50%.
5 ]1 N$ W7 t& YB. 1.67%.
: s' K2 _* R- G; h1 x9 i4 aC. 1.76%.; R5 p, i" `$ l i" R# T( c
+ u0 l9 P) i$ f+ p& _' T: @
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发表于 2016-1-7 09:11:45
发表于 2017-9-3 15:17:23
