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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 I2 l& s1 P8 {3 [6 q' T% k kA. 3.85%
; ~3 C! \8 W f& e5 R N5 w: C8 MB. 7.69% $ V; s: Z* o" }- I- W: A3 C8 O( Q
C. 7.84%
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: X% L: i5 ^" \答案和详解，登录后回复可见：- ~" \0 u3 J. \
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7. The U.S. Treasury spot rates are provided in the following table：
6 S+ B$ l' E* X# k0 x| 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?
0 |4 V a3 @6 M" f+ [$ o( M. IA. $100.61 7 R, P, Q9 I0 K0 H+ V8 k
B. $102.96 $ e. C. `+ }# i; z) }8 D, n
C. $98.92
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8. Tina Mo, a fixed income analyst, is asked to value a single, default-free cash flow of $60,000. She is given the information in the following table：$ @' [2 C3 a) D9 E0 b* n0 a2 X& {
| 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% |
: e) O) w/ ]' l! t' {5 v+ ]The value of this single cash flow at the end of Period 4 is closest to: ( @% g D2 v7 T( h! e4 _1 A
A. $56,427 * K ~/ P+ H2 h% e6 B$ X9 H, |) _
B. $56,309
$ c! O( U M) Z2 K% j% ]+ ~& Y3 yC. $56,276
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( [ `0 r+ J0 b& ]9. The zero-volatility spread is a measure of the spread off:：
" o4 r$ p0 [- y8 e/ t R% J: I* d( e, JA. one point on the Treasury yield curve.
6 U) M* C7 P5 m% xB. all points on the Treasury yield curve. " r6 Y4 ], y* I5 `
C. all points on the Treasury spot curve.& ^) N, ]! \- J2 Z
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10. The U.S. Treasury spot rates are provided in the following table： D. B* u q# X, u0 X* ~
| 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 $89.464. Given the YTM of a 3-year Treasury is 12%, the Z- spread of the corporate bond is closest to:
, \: U2 w9 x0 k z$ AA. 1.50%.
- s' n' m$ L5 k+ I+ J2 AB. 1.67%. & t6 J1 H' ~8 f* H% U* S
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
