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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：+ ]6 m0 G4 C% h3 g3 A
A. 3.85% $ S3 w6 A* R2 P L; K% ]
B. 7.69% : a+ ^) y4 ~: O1 L; k: N
C. 7.84%
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$ o6 P# P( ~. R% ~3 q i+ U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：
, D) W, C& K1 e' `% \+ `| 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? ! [6 c3 i, Z; m* Y
A. $100.61 , I& |1 v8 c$ {; V! t1 [( y) y
B. $102.96
" U; y7 i6 N: l9 oC. $98.92
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8. Tina Mo, a fixed income analyst, is asked to value a single, default-free cash flow of $60,000. She is given the information in the following table：% `% f) R# o9 l q6 `
| Period | Years | Annual Par Yield to Maturity BEY | Theoretical Spot Rate BEY | 6-month Forward Rates BEY | | 1 | 0.5 | 2.00% | 2.00% | 2.00% | | 2 | 1.0 | 2.40% | 2.40% | 2.71% | | 3 | 1.5 | 2.70% | 2.71% | 3.12% | | 4 | 2.0 | 3.20% | 3.23% | 4.55% |
8 \& P* Q0 T# T8 ]( D; ^The value of this single cash flow at the end of Period 4 is closest to:
. i; v! _ V$ j5 t7 {+ Z% QA. $56,427 # J9 y) h3 \2 y2 @6 v6 F7 L, q" h
B. $56,309
9 b" `( {+ t4 x7 T4 v+ SC. $56,276 ; K/ |- o* V+ {2 e, b. ?
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9. The zero-volatility spread is a measure of the spread off:：- ^) C" x( X6 e# \) X/ A8 E# Z
A. one point on the Treasury yield curve. 8 _' O3 n& j7 j+ [" u7 F. D! L9 B; X
B. all points on the Treasury yield curve. 9 P/ L; y' |) m; q: v
C. all points on the Treasury spot curve.
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8 D6 ]1 ?, c2 x2 ]$ H( R10. The U.S. Treasury spot rates are provided in the following table：
, [( o% l; D4 R$ V| 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:
0 R& a6 E8 c9 D2 rA. 1.50%. 9 R& ^6 C" F2 ^; d
B. 1.67%. 8 z0 v, C7 `; C: _! P* }' ]' V
C. 1.76%.6 J3 z3 L* s9 j* t
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发表于 2017-9-3 15:17:23
