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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：( R' A" `3 H7 v. Y3 f
A. 3.85%
6 x' Q' f, t8 U: G- N6 P uB. 7.69% 9 i- V& n/ u$ A7 _0 u8 a
C. 7.84% . e8 _; O$ B2 @7 x
0 f5 D" m+ U7 t& _8 }- E答案和详解，登录后回复可见：
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+ \4 @7 [- u6 x d' D4 [9 F4 \3 u7. The U.S. Treasury spot rates are provided in the following table：
8 |, U7 l8 P! V2 M- {. x| 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? ( [* u" a7 N) I$ }3 T2 h
A. $100.61
3 `* `( d l5 y3 X) u0 f7 DB. $102.96
$ m, R$ R* ^! A: w/ i/ vC. $98.92
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) A% l% [2 z5 {' F7 D8. 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：
8 G* t+ V* q+ ?6 w/ V5 z X% `| 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: ; e6 T3 x. r, s: \7 D% s8 E
A. $56,427 + I+ q- n% v7 d( v, @/ {
B. $56,309
4 B! f: B: s9 A7 [6 x0 AC. $56,276
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8 K% H; X3 `2 ~7 j9. The zero-volatility spread is a measure of the spread off:：$ C) k& f1 ~: U% ?8 E. s
A. one point on the Treasury yield curve. 1 o& {. J5 f4 o& A5 w9 Y
B. all points on the Treasury yield curve.
3 u A3 M; O/ Y5 h0 ZC. all points on the Treasury spot curve.
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10. The U.S. Treasury spot rates are provided in the following table：
# M6 C) S- T3 [| 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:
* T! [7 z& |- T7 R/ x8 j kA. 1.50%.
' Q8 e& A/ d1 l6 RB. 1.67%. : d/ {+ W6 ^# \2 P- N) [; Z: ~9 @
C. 1.76%.( |' H% Q# }/ c+ v
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发表于 2016-1-7 09:11:45
发表于 2017-9-3 15:17:23
