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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* N' x1 h+ N9 c) H& ]
A. 3.85%
/ s( f: }. L& }4 I4 GB. 7.69%
. a+ T. n1 G& q. iC. 7.84% - @. O z; `9 e% q8 ^; K* j
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答案和详解，登录后回复可见：7 e6 k V! k m3 M
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0 V1 r9 }5 ]+ K( }1 m) x+ f
" n6 g: a% g: _8 W7. The U.S. Treasury spot rates are provided in the following table：
/ u V f+ I$ m| 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? ! D) t0 Z% }. E. b; J
A. $100.61 0 ?! q: S4 p J8 S" y8 i0 [
B. $102.96
8 P3 a9 O9 N6 T4 ]C. $98.92 ; y" y/ V3 F( T: W3 z _
1 F7 P( w2 D1 T4 r8 }+ d/ n+ J
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) R+ T) N: B. J+ K" N; C: z8. 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：
# e: k1 v* }( R v- U: C2 k| 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% |
1 N8 D4 X5 K+ d! A T" C
The value of this single cash flow at the end of Period 4 is closest to: 6 ^+ D; ^/ t% F" E6 Q5 B. P2 Z C
A. $56,427
1 c- C9 B, |) D2 a' k% ^8 UB. $56,309 ( `5 ^8 v7 v* ~( G+ h) {6 n% k( ~
C. $56,276 0 \$ ~+ o% t, r5 d4 K
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9 S; D, w' {. |# [) Q1 \* O9. The zero-volatility spread is a measure of the spread off:：) U9 A. w& {3 v9 g6 f
A. one point on the Treasury yield curve.
: w0 T( J1 Z# |# _1 @B. all points on the Treasury yield curve.
0 f" i: d4 u" Z$ S- K7 {C. all points on the Treasury spot curve.0 i+ d5 N' T Z" y
0 L2 F f% `- l/ X3 a" m
2 I* _% B5 K' s3 O: E5 h& }' c$ y
3 I9 l# Q, ^# z: F4 J8 U
- @% A% l+ B% L& P10. The U.S. Treasury spot rates are provided in the following table：+ A. Z/ v, o3 T& j: 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:
0 q0 P" a& g, l( G2 x8 T! {A. 1.50%.
( N" b, e- a3 gB. 1.67%. 2 J- c) v; p: y9 \0 ]. f: R
C. 1.76%., @3 ]3 o; X: F' c, o( _4 [
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