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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：
Q) ~; m9 u$ E2 e) vA. 3.85% : _) g6 o. ?; V
B. 7.69%
: S4 ^+ w1 f8 T5 |1 E3 `2 H7 ZC. 7.84% " @! M, G! O& O& {& v9 I, K7 e
' k0 r( F3 }# Y9 e5 g: b" _答案和详解，登录后回复可见：
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7. The U.S. Treasury spot rates are provided in the following table：$ [& X* h5 B& v1 e% T6 H
| 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? # c1 j4 _7 A: B
A. $100.61 $ J q l2 ^3 D# \
B. $102.96 ! W, O5 ?$ N9 t% j* ?) o' g& L) W
C. $98.92
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8 n) f' n- k1 H8. 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：* v/ j3 Y9 h9 z
| 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: ! x- ~, W# R* g9 a+ @( v
A. $56,427 + h2 F8 A7 `4 Z9 w6 S' _# y
B. $56,309
; R$ y, i2 [! uC. $56,276 # R) t! t' q; X% W) b" v9 d9 X. B9 ^
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1 Z" |+ r) r9 f1 ]% y9. The zero-volatility spread is a measure of the spread off:：
`8 ^ X( S0 k( v; BA. one point on the Treasury yield curve. - x) S4 b) y2 J2 {
B. all points on the Treasury yield curve. & h' {5 J$ \4 P/ I
C. all points on the Treasury spot curve.* T( Y, K0 X; `- j9 e% v
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10. The U.S. Treasury spot rates are provided in the following table：/ `# U: u. z1 n2 n) G# z' Y) C
| 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 $89.464. Given the YTM of a 3-year Treasury is 12%, the Z- spread of the corporate bond is closest to: 5 `1 \7 c. B+ l ]/ b; X8 W8 E e$ H
A. 1.50%. 5 G* I3 s: Z- t+ n/ W
B. 1.67%. ) ]0 j9 V. D, i( j0 o; w* C, ?- n
C. 1.76%.
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发表于 2016-1-7 09:11:45
发表于 2017-9-3 15:17:23
