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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：0 i* k* r1 M3 ^
A. 3.85%
* _1 O5 j. ?8 F2 m% l3 B! BB. 7.69% 1 P2 x+ @8 W+ K2 m1 Q9 h+ s7 ~
C. 7.84% 8 W$ ^8 Z) `! s9 @% e
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答案和详解，登录后回复可见：
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6 i; Y: c# k0 z0 L# G- j. A7. The U.S. Treasury spot rates are provided in the following table：0 Z v. y3 T' q6 p w9 K
| 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? 4 a0 b2 e) z& s; a6 ?
A. $100.61
5 B# ?' M* v: W% Y+ }5 mB. $102.96
; ]0 g3 D$ Z2 KC. $98.92 ) T. s* c$ a6 {8 S* l7 ]( x" 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：. `, b2 x j# s- n* Y
| 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% |
, B) r2 \" J3 `' R7 Q: FThe value of this single cash flow at the end of Period 4 is closest to: / [" u; w8 n) I* v R5 E
A. $56,427 3 S$ L7 q1 g) ~& [7 T
B. $56,309
. ^6 C7 a8 r& f( [ EC. $56,276
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9. The zero-volatility spread is a measure of the spread off:：
! s4 L$ F0 }% X2 h8 M: l4 e. DA. one point on the Treasury yield curve. % s0 ], v0 T/ F# `
B. all points on the Treasury yield curve. $ k+ V* R# Q/ h: q/ D8 \
C. all points on the Treasury spot curve.1 v1 L2 a9 i0 W: k3 q L7 E
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( ~0 f+ E9 `! e$ s5 Q3 O' |10. The U.S. Treasury spot rates are provided in the following table：
8 b0 u' ~7 R% b: }1 c4 X0 p: u$ 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: " l( G/ s) X8 V5 ^% K* |
A. 1.50%. : V9 C- G( w5 ]5 A
B. 1.67%. ! Y g- [1 |7 V9 s
C. 1.76%.# D# J/ a! s* ]& ?6 j
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发表于 2016-1-7 09:11:45
发表于 2017-9-3 15:17:23
