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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" k; F/ }3 }% D
A. 3.85%
7 j, u/ c8 j% F1 y, p) uB. 7.69%
% C+ n( m. r. e- A% b" W# }" HC. 7.84% : ]2 f/ M$ W' N9 \1 J: G
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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：
( K1 a' I4 j# F+ ~ {+ E' Y| 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? , @/ i2 R5 i1 D6 Q! w S
A. $100.61 $ M$ f" U( l, A2 p, q1 o
B. $102.96
3 ]- Q1 a. Z6 MC. $98.92 ) Q6 F. m) e& W! Q
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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：
4 s Y% o. z1 p| 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% |
& k9 i- p1 q0 A+ [5 t4 MThe value of this single cash flow at the end of Period 4 is closest to: : x! X- V4 @: \7 ^7 M n" l" c; b
A. $56,427 ! y$ S; l. G) V5 r* G
B. $56,309
4 k# \/ W# K3 p/ ]C. $56,276 2 s8 @3 B! m7 g. R# X) U1 M8 W7 R
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( y( k# z, k) K; b3 W9. The zero-volatility spread is a measure of the spread off:：: d3 {9 h! E6 `- K' b
A. one point on the Treasury yield curve.
4 @# L: p3 X' F$ D$ kB. all points on the Treasury yield curve. 7 C$ `" `) n9 [! E0 M0 F m p
C. all points on the Treasury spot curve.
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10. The U.S. Treasury spot rates are provided in the following table：
7 D( U: G1 J; K; T) y| 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:
8 D% D8 b* ~5 s' e, \ b8 i) C& \" ZA. 1.50%.
4 o# b7 ? b3 @* u: p l1 GB. 1.67%.
3 U, B( V0 N& D" D0 @1 ?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
