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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：
0 M, B9 p0 g; d' |) v: x' Y; _2 D0 jA. 3.85% 7 h- N4 B+ w6 c" L; B
B. 7.69%
3 @) f% g1 Z3 |: yC. 7.84%
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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：% o# L/ E& g1 m0 [
| 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?
# ]6 E! [$ V1 V" {A. $100.61
7 S- i5 f% |) b' m6 Z8 E# b' _B. $102.96
" A& w9 g5 l2 f/ h2 s' zC. $98.92 1 `9 T) K4 {* W7 u; O3 `7 G/ y L
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# m9 G+ ^! z, @% C y+ ?8. Tina Mo, a fixed income analyst, is asked to value a single, default-free cash flow of $60,000. She is given the information in the following table：
" N$ H) K$ E" A! ^" l' _: W) H| 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% |
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The value of this single cash flow at the end of Period 4 is closest to: 5 n9 i3 S$ e) t4 d5 I
A. $56,427
$ ?+ d" Z r: n4 V+ Q$ _9 t d! W! FB. $56,309 6 `' h5 D8 v+ E+ f* X; f% [
C. $56,276
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4 M0 w' o& f" g0 h: i9. The zero-volatility spread is a measure of the spread off:：: O. p) ]& b6 b. M: n( J
A. one point on the Treasury yield curve.
6 v O' x" u9 i8 C; C+ Q+ IB. all points on the Treasury yield curve. 0 ^* Y5 _6 J# N) L1 |
C. all points on the Treasury spot curve.: G$ V0 Q7 a& m2 f P% ^
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8 O' l- G L. u# u10. The U.S. Treasury spot rates are provided in the following table：
; Q. l# E f2 c" D| 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:
p7 ^4 t3 h" r5 S( wA. 1.50%. ; H% ~ ?; f5 F
B. 1.67%. # N% L; a3 t0 S6 Y! f3 l
C. 1.76%.
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