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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：
$ O0 Z# B: h7 @, AA. 3.85% ' K2 v+ A8 |! u% p: l
B. 7.69% + u% C4 n) C$ J9 N# o
C. 7.84%
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答案和详解，登录后回复可见：
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5 ` j: S9 E; W" p5 H7. The U.S. Treasury spot rates are provided in the following table：
' t; m7 [! F0 K- 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?
" V" W( L5 S9 cA. $100.61
4 [+ q4 |6 i, D- V, pB. $102.96 5 z5 o8 s/ `& ~; ~: C
C. $98.92 $ e7 i- j# T5 R& ^+ i& ?/ b& r
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, {- G) U: J d! \5 b) v a8. 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：
' F' E' F( e) c! x4 _# a. Z+ v| 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% |
6 H/ V1 `. X Y8 [The value of this single cash flow at the end of Period 4 is closest to: . `* d, S+ k; s1 w# O
A. $56,427 , b% W# @" h1 R! K3 u3 D. _
B. $56,309
( r6 I: k+ A$ | z) GC. $56,276
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9. The zero-volatility spread is a measure of the spread off:：
( M9 W* t) R7 bA. one point on the Treasury yield curve. * k8 E- O+ J+ ^7 j5 z) M3 t h
B. all points on the Treasury yield curve.
: g* m9 C3 l% {/ PC. all points on the Treasury spot curve.
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+ k/ n& ]: T$ C4 O* _( v& v10. The U.S. Treasury spot rates are provided in the following table：- o+ P& Y" k+ b4 x$ Z
| 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:
4 e; l; T2 }6 `: kA. 1.50%. ( T- _) q9 i! [( }' o" t
B. 1.67%. $ H# B$ _6 Q: M2 t( ?; Z
C. 1.76%.1 p H0 ]) E' z1 b+ s. m4 R
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发表于 2016-1-7 09:11:45
发表于 2017-9-3 15:17:23
