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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：
- V! \% d6 y0 O) _A. 3.85%
7 t, w0 y7 b3 C1 ^, V( {B. 7.69% / z6 p+ ?* I/ _8 b
C. 7.84% - F: @5 k4 a& w3 n2 Q
2 X$ S0 _( ?6 X0 |答案和详解，登录后回复可见：7 M. B9 B- m# d
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# O- S# L! Z* ^" Z( t1 L% k* Q# Z& F
7. The U.S. Treasury spot rates are provided in the following table：) ^+ f# q% Z2 t' B' w* d5 Q
| 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?
1 w: D1 ]7 ]8 x8 D# MA. $100.61 / E! W ?& R& X' d
B. $102.96
$ P$ r7 H: O1 }0 `/ e3 l$ L% f+ ZC. $98.92 & T/ x r4 r& h2 k
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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：; A5 a2 K }+ o; 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% |
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The value of this single cash flow at the end of Period 4 is closest to: & R: N& ~# q( a
A. $56,427 6 E# A$ ~1 B j% Q
B. $56,309
6 t; r3 P/ [1 Y$ ?C. $56,276 2 E/ k, h, v$ h" b
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5 G) w& P) F5 [, D9 A0 B# Y% n4 m9 p+ {& }# Y0 T' \8 b7 d
9. The zero-volatility spread is a measure of the spread off:：& [6 ^! ?0 }& ~# K
A. one point on the Treasury yield curve. . U/ L$ I& n. r: D" z6 ~4 \0 Q& [% E
B. all points on the Treasury yield curve. - W7 V3 E5 o; y1 I
C. all points on the Treasury spot curve.
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0 o& y2 o+ l: o x& N0 d0 T/ ~) y, I10. The U.S. Treasury spot rates are provided in the following table：
8 v0 Y. M q; Z& R; 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:
. H' r! Z" u. v* U( v) P7 dA. 1.50%.
+ k5 D7 Y) a) F3 E% x6 R6 yB. 1.67%.
1 y' l D, u! k2 W9 O" K2 ZC. 1.76%.3 j+ P* c# I& @' w# g
& ?% v" ], a) ]1 d8 ]+ C2 Y7 S0 S ]3 V. R) d
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