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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：
m: h' u! d+ C, u) D% QA. 3.85%
% I1 ~1 J& B+ s8 c3 yB. 7.69% ; q o/ _, J+ N8 ]
C. 7.84% % R7 j( l' a" H) V
" V S! h( E$ g' J答案和详解，登录后回复可见：3 |8 H( a& p7 x; q
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/ v4 r. P2 F" K9 p; D0 l7. The U.S. Treasury spot rates are provided in the following table：
' e1 ^6 f$ ]6 ~/ b| 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?
& C/ A N& h* \6 k" r6 SA. $100.61 ) p, \! _+ v' v/ [( \9 Q% h' d
B. $102.96 ( p" e$ i. i4 B0 V
C. $98.92 ! l8 o* @6 h" T- s1 z5 I! _ b
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8. Tina Mo, a fixed income analyst, is asked to value a single, default-free cash flow of $60,000. She is given the information in the following table：
7 d/ c5 E7 {, \1 r| Period | Years | Annual Par Yield to Maturity BEY | Theoretical Spot Rate BEY | 6-month Forward Rates BEY | | 1 | 0.5 | 2.00% | 2.00% | 2.00% | | 2 | 1.0 | 2.40% | 2.40% | 2.71% | | 3 | 1.5 | 2.70% | 2.71% | 3.12% | | 4 | 2.0 | 3.20% | 3.23% | 4.55% |
. V" q- {/ ?$ j4 k2 NThe value of this single cash flow at the end of Period 4 is closest to: & @6 k1 x3 O+ h) r
A. $56,427
# w+ v" S- q3 k+ H3 PB. $56,309 ; ?& F9 q l# ~' a3 K2 e
C. $56,276
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9. The zero-volatility spread is a measure of the spread off:：
2 M, c8 Z6 P% m; P Y+ W; Z2 vA. one point on the Treasury yield curve.
; H& Q! R& w2 U- c7 RB. all points on the Treasury yield curve. 4 f5 {) b6 p; N- {
C. all points on the Treasury spot curve.
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? S- l$ z* p4 u( c10. The U.S. Treasury spot rates are provided in the following table：
1 G. |4 H9 y; W( B5 E; X| 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 $89.464. Given the YTM of a 3-year Treasury is 12%, the Z- spread of the corporate bond is closest to:
, q' [# G) {( S: {: V3 K1 F; b2 i8 wA. 1.50%. 7 r& q% L& F# u' Q& V$ x
B. 1.67%.
7 k: q& i) P* S* |C. 1.76%.
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发表于 2016-1-7 09:11:45
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