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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：
+ p9 ]% ?! L% z3 a: A( t; f5 q& UA. 3.85% 3 I+ d7 ~% a% f- J' a7 I* J6 g% x
B. 7.69% m! B' T3 X1 D/ R2 s$ B% `3 B
C. 7.84%
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答案和详解，登录后回复可见：8 f7 ~, Z# f Q0 }, ?8 O
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7. The U.S. Treasury spot rates are provided in the following table：) y6 P0 M" D' w" g& f
| 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?
T# I( E U- D' B+ G; SA. $100.61
, n$ E, ~8 E/ X8 JB. $102.96 ?+ a. a. b$ B5 g( Q" ?7 v8 d
C. $98.92 / W5 E% i. R4 O5 |; k1 Y
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; [% _ w! j) R$ T! E8. 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：
, _' h- ]; @! ]% t# p! B| 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' a" i4 O% n2 z
A. $56,427
. D+ D: P1 N6 C2 T& t; d8 v( f( t* \B. $56,309 0 m" r4 I( P+ H C- q- B: L
C. $56,276
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9. The zero-volatility spread is a measure of the spread off:：- Y) n$ ~/ ?# G
A. one point on the Treasury yield curve. : _5 w9 g/ A; P- X+ s0 S
B. all points on the Treasury yield curve.
9 X) p; D9 N. p7 [. N3 ?- w6 AC. all points on the Treasury spot curve.9 E1 Z, j* ?6 t3 f
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* m6 e8 d* e$ m7 ~2 i10. The U.S. Treasury spot rates are provided in the following table：# M2 ~+ X! c* J, G+ t" h5 I% G- C
| 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 $89.464. Given the YTM of a 3-year Treasury is 12%, the Z- spread of the corporate bond is closest to: * T1 u6 u3 i' O
A. 1.50%.
3 P+ H) V$ {% R" F; kB. 1.67%. % `9 C- `- x0 C- c% G7 U
C. 1.76%.
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发表于 2016-1-7 09:11:45
发表于 2017-9-3 15:17:23
