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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：, y0 F% [9 a. \3 ?8 h& X# Z( F+ A
A. 3.85% , L& ~" l' D2 }7 ~
B. 7.69%
! w" B9 d. q7 pC. 7.84%
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答案和详解，登录后回复可见：8 Q1 P: i2 E9 t* M/ u, x2 \2 v
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7. The U.S. Treasury spot rates are provided in the following table：
, o$ x; i( t" H$ z( z2 C6 M, h( A| 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?
& P9 |/ Q# Z7 G1 C- HA. $100.61 + u- H' N+ b. h* Q8 l
B. $102.96 7 a# U" N$ ~6 F. W: }
C. $98.92 ( `4 L7 A& C- K- B. n
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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：
! h A, V- j* R| 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:
# `0 v x, n' n* f9 E( {/ qA. $56,427
" W" W+ x7 R6 r, FB. $56,309 6 }; ~# y/ i2 ]* ^3 q% M4 A
C. $56,276 , E4 V! z9 H( Y; T* s
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9. The zero-volatility spread is a measure of the spread off:：
2 M' }3 O$ e5 vA. one point on the Treasury yield curve. - q( [1 O1 O# E2 J/ {6 c
B. all points on the Treasury yield curve.
$ |4 o. ^& |3 N1 m, \# o' OC. all points on the Treasury spot curve.* s8 S: B7 X4 T1 ?
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$ x' D# V4 z6 x0 P10. The U.S. Treasury spot rates are provided in the following table：. C0 d; r2 \/ [+ H
| 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 b& t. O; S2 w" A
A. 1.50%. + R! \2 m2 E1 X9 t
B. 1.67%.
! D9 L+ |2 p+ L: X( z. hC. 1.76%. x ^# K# v) {/ g# ]8 k0 u
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发表于 2016-1-7 09:11:45
发表于 2017-9-3 15:17:23
