|
|
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 s; Z1 J% y+ ]" E* k- q
A. 3.85% 6 z* X; e1 E( s+ f+ A% ~& b9 A
B. 7.69% 6 w3 x/ _4 D( D$ o$ J+ r
C. 7.84%
' D( W7 }- m% C* c( s0 y2 v7 k N" C B; P
答案和详解，登录后回复可见：
* C3 w3 {1 k! [' J; z0 A8 l0 k+ c$ L4 K# v9 F
: b4 u# v- p/ l; s: W$ @7 m$ n
+ [/ @2 o* N, `
7. The U.S. Treasury spot rates are provided in the following table：' h! ^6 t+ r4 b7 b O) c$ H# 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? * ]# x" R' e2 e" w9 _7 P
A. $100.61 * U+ n, `. V, e C
B. $102.96
- z9 G2 ?4 s) Z2 i a" o! DC. $98.92 ( ?+ d4 Y# ~9 q ^* L8 M
& {9 S# j9 g8 p! b2 \2 q. ^ Q- W+ F# D) V/ K
. k- k4 l9 H: U8 ~- L9 E
4 t$ ~) L/ T7 J) u8 L8. 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： a' D7 x6 |1 Z- }' u
| 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% |
! D! }4 M- O2 H2 v5 MThe value of this single cash flow at the end of Period 4 is closest to:
1 b1 B3 R' O& e1 @/ kA. $56,427
& s( s+ D' ~: C9 W& yB. $56,309 % U& T3 z' z9 p0 i5 c+ B
C. $56,276 + n& ?+ P) @. h+ P) ?5 v
. m0 t. d) k5 `0 g: c6 ~; C5 |1 ~4 |3 q3 a; r
4 R% K% I; s l' X1 i, _5 [/ V0 Q
! o" M4 C, M2 g% ^" C# \
9. The zero-volatility spread is a measure of the spread off:：
+ W, g" k0 W) F# L, dA. one point on the Treasury yield curve.
+ C8 C& g$ b {, B5 nB. all points on the Treasury yield curve.
( R+ ?" I% }" U& qC. all points on the Treasury spot curve.2 E% `! Z( Z8 `9 Y2 C0 j ~
/ _+ k; w) L3 C# ]* J1 I
# m- [9 q$ h0 n. `
6 T( ]) Z' k8 B
: N: f. ]. e" `% ` b: `/ x2 O+ ?10. The U.S. Treasury spot rates are provided in the following table：0 a! Q' I# q* g$ o
| 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 $89.464. Given the YTM of a 3-year Treasury is 12%, the Z- spread of the corporate bond is closest to:
" b a1 n _" B; e( O: B0 |A. 1.50%. . p" z2 L# r% A' e+ s
B. 1.67%.
+ l- Z4 ]7 c& P7 y; ^C. 1.76%.
% Z$ Y2 ]6 x E, d- x: w5 e8 ~
4 ] _( I) E/ |1 U- y
/ V" Q: o. Q2 x d% r
5 E' d1 x: Z2 d! V8 t8 ?更多CFA习题可关注：高顿CFA题库
* J4 q& s1 ~5 v# v关注微信CFA-FRM （CFAFighting）CFA考试资讯抢先得
n- \3 p+ m4 c. \* P) [: r$ y; Z
|
|
[复制链接]
发表于 2016-1-7 09:11:45
发表于 2017-9-3 15:17:23
