|
|
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：% ~ P* ^9 a- ]
A. 3.85% 0 q9 L# K: U# {& `- J
B. 7.69% % D+ _$ p: c4 S5 z2 r! M: i
C. 7.84% ( s! J# ~- b" e' m
" e) p# r: w8 w" }1 I$ ~! \
答案和详解，登录后回复可见：
. z- }6 U1 r: D7 ?
$ v0 y" p7 }4 J" n9 k# k& d' }* }1 z
. Q- w+ R7 X3 D; x3 o# A
7. The U.S. Treasury spot rates are provided in the following table：
f* J7 L, o7 @5 Z, L& 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? $ J; a5 `) N) d( z
A. $100.61
' V( A" J6 C3 g# gB. $102.96 7 B+ z- a; h* m" q" M9 ]
C. $98.92
7 [+ k d3 W6 N" w1 ~8 H: P/ O4 X9 o4 I! q
8 G1 d0 M z7 v9 @9 F
7 D" t1 K* a! M: K4 T$ P# z
3 ~( L( y* C9 f+ {+ o0 B" Q8. 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：" a4 N; R2 [2 f7 M+ o
| 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% |
9 ~+ N6 A9 l: f
The value of this single cash flow at the end of Period 4 is closest to: ( B/ s N: y/ m3 Q2 t% x: k q1 E
A. $56,427 ( y' D! n5 \+ `. [6 {7 @
B. $56,309 + @+ }/ k: x' a% K, ?$ ]1 ?, w4 F
C. $56,276 ; \, ^1 l# k( c4 s
& |' ~1 O$ `( b/ M1 g T5 g$ j
% w* N" F# U% U3 j' _
$ o1 U+ x1 Z/ E* [8 p0 y p1 {& w# U# C$ n6 B
9. The zero-volatility spread is a measure of the spread off:：) x. L. ]6 [2 R, y1 p9 H; Y
A. one point on the Treasury yield curve.
- E* {' E6 X9 _% w% |B. all points on the Treasury yield curve.
! G3 ~; |" V8 s: IC. all points on the Treasury spot curve.+ d# F1 p1 c6 x0 ]! j" H7 i
' s5 h6 u. f7 ~+ B$ x7 ^) k/ J1 `& K- {
2 v) {: Q; T' c" A. v8 S
( S3 h, G/ R1 J" B$ i
10. The U.S. Treasury spot rates are provided in the following table：
5 V" t% t) V# S( B) m1 F A| 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 $89.464. Given the YTM of a 3-year Treasury is 12%, the Z- spread of the corporate bond is closest to:
% z8 c4 q6 z) j8 U5 S) lA. 1.50%. 8 d' |. [2 [7 j: Y0 }+ v0 z! e2 A8 v8 h+ f
B. 1.67%. N0 @9 x8 w1 v# j) G5 L l
C. 1.76%.! o3 t9 X0 |3 t) p$ X% f
8 n: q) e. c# D% s9 v; F, c6 k7 p7 S/ F; t" x
' t/ e& r+ f7 x2 S) R
更多CFA习题可关注：高顿CFA题库+ w; P& s/ }, {) } y8 h
关注微信CFA-FRM （CFAFighting）CFA考试资讯抢先得
$ q/ f9 _0 c3 Z0 D0 K/ [( U/ k! I5 ?' ^8 q, X. w6 n/ D6 a# E8 z! w
|
|
[复制链接]
发表于 2016-1-7 09:11:45
发表于 2017-9-3 15:17:23
