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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:$ O& i% `. r2 U+ Z% u8 P; s) Y% ?8 D
A. 3.85% 4 w+ T( y$ R" J* S+ D9 b; z
B. 7.69%
% z+ K4 k& d) c+ _ }4 \ K fC. 7.84%
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答案和详解,登录后回复可见:/ {$ W+ g* Q, W: c+ K3 z
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7. The U.S. Treasury spot rates are provided in the following table:5 `, N7 V5 V6 r V- G% r
| 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?
2 ^' r; K* B, H6 `- ?A. $100.61 * o5 _3 A9 z2 f7 i& S+ |2 g6 n5 P: s% S
B. $102.96
1 H1 w, o! ?, r0 u4 Z2 xC. $98.92
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8. Tina Mo, a fixed income analyst, is asked to value a single, default-free cash flow of $60,000. She is given the information in the following table:
+ i% L9 T# {! s3 l0 ~7 Q0 P| Period | Years | Annual Par Yield to Maturity BEY | Theoretical Spot Rate BEY | 6-month Forward Rates BEY | | 1 | 0.5 | 2.00% | 2.00% | 2.00% | | 2 | 1.0 | 2.40% | 2.40% | 2.71% | | 3 | 1.5 | 2.70% | 2.71% | 3.12% | | 4 | 2.0 | 3.20% | 3.23% | 4.55% | ) X$ A0 Y+ g' b' t
The value of this single cash flow at the end of Period 4 is closest to:
2 i3 p9 S' j3 }- O/ X0 ?A. $56,427 * Z# K: M$ ]- V d5 s+ D$ m5 J
B. $56,309
: [& o. t4 ~" G* e j* n) OC. $56,276 3 [ A) N1 T5 H& W" ]5 D
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9. The zero-volatility spread is a measure of the spread off::/ D1 Z L, y! B" H/ p/ S4 F
A. one point on the Treasury yield curve.
5 G3 n6 u0 _5 n) {B. all points on the Treasury yield curve.
' |# Z u' I u" y9 [# U: dC. all points on the Treasury spot curve.
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10. The U.S. Treasury spot rates are provided in the following table:
5 O# i) e! n. F% m3 O6 U| 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 $89.464. Given the YTM of a 3-year Treasury is 12%, the Z- spread of the corporate bond is closest to:
" l/ ~% Y% P" P- o5 X& q3 T- m5 OA. 1.50%. % b. I0 i4 Q6 [1 |
B. 1.67%. * Q% `6 F$ {! A
C. 1.76%.
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