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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：
5 o, h4 `8 `) eA. 3.85%
8 ~ N' R) v8 H; _B. 7.69% w( X8 }+ C$ [3 ?0 ]1 c" t* J
C. 7.84% , h( K# C/ q5 m [+ \6 N. j
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答案和详解，登录后回复可见：
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+ \" _" j$ Y! V I6 p2 T7. The U.S. Treasury spot rates are provided in the following table：
% r- ]* l/ v2 ~4 d| 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?
' k+ Y! ^9 n! v0 nA. $100.61 1 ^# g! M1 ]1 f7 I
B. $102.96
9 ?. x' |+ b$ K7 L8 EC. $98.92
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8. Tina Mo, a fixed income analyst, is asked to value a single, default-free cash flow of $60,000. She is given the information in the following table：
9 `7 Q8 \* G0 w| Period | Years | Annual Par Yield to Maturity BEY | Theoretical Spot Rate BEY | 6-month Forward Rates BEY | | 1 | 0.5 | 2.00% | 2.00% | 2.00% | | 2 | 1.0 | 2.40% | 2.40% | 2.71% | | 3 | 1.5 | 2.70% | 2.71% | 3.12% | | 4 | 2.0 | 3.20% | 3.23% | 4.55% |
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The value of this single cash flow at the end of Period 4 is closest to: - l5 L$ B) G2 V2 O% E5 C* b
A. $56,427 / h# t% j) u+ i) q
B. $56,309
8 y1 p$ O0 ^6 a1 y# n9 v. y3 T/ ^C. $56,276
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" a: u. X, n: Q8 G# w7 C+ O+ _9. The zero-volatility spread is a measure of the spread off:：
" u v) o5 a. `A. one point on the Treasury yield curve.
7 a) v3 G$ k0 d4 B; VB. all points on the Treasury yield curve. / b- r0 R6 Q$ _: H* p
C. all points on the Treasury spot curve., \# s- ]+ R1 n7 E) m; x6 `! ?
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10. The U.S. Treasury spot rates are provided in the following table：
$ p7 E9 s. a6 J/ b$ q- \| 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:
3 x4 |3 D e& R8 _% _! t* PA. 1.50%. ( }3 p, Y) t) D% \& d
B. 1.67%.
; ?4 X, p- ~7 S4 n: G- }5 G# XC. 1.76%.
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发表于 2016-1-7 09:11:45
发表于 2017-9-3 15:17:23
