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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：
r8 W0 M1 Y. j, L" z. t( y( lA. 3.85% 0 E' a- e5 B' J: J
B. 7.69%
; K ~: G! W4 Q2 B: s+ N7 u% g" \C. 7.84%
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3 m. ]7 v1 r F答案和详解，登录后回复可见：- x0 h3 H o, T
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7. The U.S. Treasury spot rates are provided in the following table：
( |2 @& W$ m& M| 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? & m( i4 r0 n) G' M. } O6 F
A. $100.61
; B$ z, _) r6 P; N3 J6 l9 GB. $102.96 ) \" K% \: R& E, L/ `4 Z
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：
9 e' G1 O& L) q- p. G* 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:
) \9 m+ o# m; |/ UA. $56,427 0 G. U) p7 B. `: h
B. $56,309
/ g! ?5 o, {6 ^. K. `3 O+ aC. $56,276 ' b% s' N3 H$ i% l; l
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9. The zero-volatility spread is a measure of the spread off:：
7 s* P/ I! _( B; @A. one point on the Treasury yield curve.
+ B2 x: E5 z) }9 d7 @2 l% V9 {3 XB. all points on the Treasury yield curve.
7 Q) ~& @8 M3 N8 ]* ]6 T4 ?0 d# jC. all points on the Treasury spot curve.6 R& S* t- _. F5 x* Z2 u( H# U7 f. R
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10. The U.S. Treasury spot rates are provided in the following table：3 y. q# V; n, Y" T! f/ W
| 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: ) P6 G+ y1 m) W; ]
A. 1.50%. , Y2 j0 X2 g0 U, w: q
B. 1.67%.
( I5 W* q0 ]8 aC. 1.76%.: M* x! C" f+ z1 t1 k8 L4 [
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发表于 2016-1-7 09:11:45
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