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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：- h9 ^, O2 i% Q& k# M
A. 3.85% $ }4 F7 \6 y! b3 Q5 |: B& o
B. 7.69%
% v# f2 s9 U5 E) LC. 7.84%
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答案和详解，登录后回复可见：) |1 z9 l6 s q; e
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5 A3 C9 {& z& g8 A- l0 i0 K7. The U.S. Treasury spot rates are provided in the following table：
, r. n: k& K( z& V+ e| 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? 8 g# A$ B6 M. [4 F" ^
A. $100.61
3 f0 p' m! e$ N4 q4 s: fB. $102.96
. A1 ?8 [* M1 G8 q% u$ ]C. $98.92 6 m v; _/ n3 a0 f$ d# l+ j
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8. Tina Mo, a fixed income analyst, is asked to value a single, default-free cash flow of $60,000. She is given the information in the following table：
y$ h e3 b1 E$ A| 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: + u) a+ @! }0 F0 Q! |5 {- L
A. $56,427
D( E1 D' _+ H5 \# A; p5 OB. $56,309
9 w" Q. Q* H9 B8 iC. $56,276 ) F1 b, Q3 [% n0 i. N5 U
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# m7 M7 k" Z2 X, P9. The zero-volatility spread is a measure of the spread off:：1 Z. g- l( H2 I5 G
A. one point on the Treasury yield curve.
9 A0 `+ V0 L. F/ dB. all points on the Treasury yield curve. ' f7 b$ h: d+ x+ U/ ~' X/ ^
C. all points on the Treasury spot curve.
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0 r/ x+ e+ v. N9 v0 c10. The U.S. Treasury spot rates are provided in the following table：7 S' S& C5 e/ E
| 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: o2 u- r2 T* f- p* x# z
A. 1.50%. ! D3 s1 ^9 o. p) `
B. 1.67%.
+ m7 f% C! }8 b1 H! I! y! j7 AC. 1.76%./ @; X4 C% |# s' p g/ O5 f0 h
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发表于 2016-1-7 09:11:45
发表于 2017-9-3 15:17:23
