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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：) [. h m$ f0 G9 Z9 W; h% C) ~
A. 3.85% ) |2 @1 {1 T- B4 h
B. 7.69% - U) n( z( ], A7 ]% e3 i7 ]
C. 7.84% 5 k& G7 L4 O8 H7 {
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答案和详解，登录后回复可见：, E- u# b& G: u0 A( y4 t$ ~
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3 l5 K& @- j% D8 C( J7. The U.S. Treasury spot rates are provided in the following table：
* N- k/ @& |1 `| 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?
, i. r: J1 J! yA. $100.61
5 x# S. d, J1 L6 c. `B. $102.96 X e! S7 V0 w6 F9 V ~$ l
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：
/ s. d, d4 {; i+ ] N* z| 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% |
N1 V/ c0 g, }7 n- YThe value of this single cash flow at the end of Period 4 is closest to:
6 n1 a4 _' _) [6 XA. $56,427 2 y7 U# h: ]& ?' F' |# N
B. $56,309 * S+ C' `" D) ]! i, H6 q$ R& E
C. $56,276 8 v+ E2 r" ~2 }# b0 Y9 X
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( _+ B3 {5 K8 M' `1 t9. The zero-volatility spread is a measure of the spread off:：
5 j7 G$ @/ ]8 w y! FA. one point on the Treasury yield curve. : n, G! @ c0 G1 h, p
B. all points on the Treasury yield curve.
+ S8 U" {5 o/ a3 q7 {1 KC. all points on the Treasury spot curve.9 o: w% W# n; ~$ J$ h2 v
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! n+ n' L4 u8 N% P# o) [10. The U.S. Treasury spot rates are provided in the following table：! n+ n3 ^: M4 J* g6 h
| 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:
! ]# i# U9 ~7 N, mA. 1.50%. / o4 j! L2 o' j- Z; {6 `- l3 l
B. 1.67%. # t2 |1 X3 V1 T2 ?; |
C. 1.76%.
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