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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：4 [; w+ B# x P$ Z
A. 3.85% # b# k, j' p+ z2 x$ R( m+ a7 o
B. 7.69%
" X* F. P! F R: aC. 7.84% 8 W: `5 `* }% {" W# W
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答案和详解，登录后回复可见：
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5 f8 h9 K3 q/ G7. The U.S. Treasury spot rates are provided in the following table：% t& A; U' B8 s. l, O+ O
| 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?
9 t" m$ H x) ]5 i. {, HA. $100.61 / \* `# E) F3 W4 W" j" b
B. $102.96
+ @7 D2 q. f6 j3 J; ]) ^9 H$ sC. $98.92
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" a/ }+ O" Z" l$ T8. 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：0 R/ X6 `" m5 k* Q8 H# _+ G- ?4 [2 U& m
| 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 d/ G8 w; H/ R8 R+ S! Q& i( x* Z% sThe value of this single cash flow at the end of Period 4 is closest to:
4 b5 \, J+ x! Y6 jA. $56,427
! D" H7 I2 T Z5 {' _2 g' ]/ cB. $56,309 ! `- F- w0 A, z0 q3 ^; i, K+ d
C. $56,276
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9. The zero-volatility spread is a measure of the spread off:：
+ l5 `( |8 ~0 {, N, WA. one point on the Treasury yield curve. * [+ \( M ~( Y
B. all points on the Treasury yield curve.
9 X' |; e3 t0 E7 B1 s5 g) sC. all points on the Treasury spot curve.
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/ u# r' ], g" z& U) t10. The U.S. Treasury spot rates are provided in the following table：
. t% J' B; ]1 e# O! n0 ?| 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:
0 ~, R* x) z! S' o' xA. 1.50%. % w u: f) n. J
B. 1.67%.
8 ]* A& ~% c {4 MC. 1.76%.
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发表于 2016-1-7 09:11:45
发表于 2017-9-3 15:17:23
