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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 w1 C% }# T- n# K2 l( A! O
A. 3.85%
1 I2 b2 @# T8 a8 e4 yB. 7.69% ; _& s- h, K; T! P1 ?& {2 o
C. 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：
$ h9 p# t0 L8 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?
, I9 g8 Q" O) W4 g1 `/ ~A. $100.61
9 h0 L/ l, b! Z% F9 F- a, i/ HB. $102.96 / _: T+ t1 p. G
C. $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：: g: v6 q6 v# ?
| 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: & r- L0 q. ?. q8 P2 q6 h; ]. ]4 Y
A. $56,427
$ K3 O+ `# j5 ~B. $56,309
3 A: U) X& f$ J( |C. $56,276
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3 [: g9 F% ~6 l$ X9. The zero-volatility spread is a measure of the spread off:：
8 `3 `1 G. w3 kA. one point on the Treasury yield curve.
7 E2 A- q) d$ [1 SB. all points on the Treasury yield curve.
1 m/ Q4 p* N( W" E& w% X: yC. all points on the Treasury spot curve.
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10. The U.S. Treasury spot rates are provided in the following table：" ^" K2 F9 q t
| 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 $89.464. Given the YTM of a 3-year Treasury is 12%, the Z- spread of the corporate bond is closest to: 7 C6 \! e; f- c8 I f" U
A. 1.50%.
x7 B6 j- t. f2 ~; MB. 1.67%.
* L, E P5 d9 `" Y1 {C. 1.76%.% c# z1 Y$ B; p
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发表于 2016-1-7 09:11:45
发表于 2017-9-3 15:17:23
