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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：( G* t: ^ x5 M3 Y0 W* p4 N
A. 3.85% \' k4 u2 v# D- q6 N1 I# T
B. 7.69% ' ]- V* \/ Q5 a! e# L1 f0 t) c" C8 t
C. 7.84%
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答案和详解，登录后回复可见：4 q2 P1 l2 p' e- n: a4 S0 E
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3 W+ _% d( x! c. o9 Q7 l7. The U.S. Treasury spot rates are provided in the following table：& F8 l0 e/ F5 i4 W- W }
| 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? . J0 G, r+ {( X) |6 M# Z4 I
A. $100.61
' x& o% {( F/ {3 M9 x) AB. $102.96
0 }9 V5 T/ c l9 JC. $98.92 9 \. i" d$ \, s( E' P' K
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8. Tina Mo, a fixed income analyst, is asked to value a single, default-free cash flow of $60,000. She is given the information in the following table：
/ y5 h5 ~4 m0 L+ }! |$ c4 o| 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% |
0 Y, p% [. s O7 X! \; k) q: eThe value of this single cash flow at the end of Period 4 is closest to: 0 L; L4 |" n1 O9 A# n) Z% i
A. $56,427
/ n/ {! e6 J$ ^& Y7 t2 w6 z4 iB. $56,309
4 a( _% i6 T, r' nC. $56,276
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7 }/ Y7 }8 x S! t7 G; _) A! X! C9. The zero-volatility spread is a measure of the spread off:：# H$ n. x6 n" p3 }
A. one point on the Treasury yield curve.
2 S* C( t) d* B0 K' mB. all points on the Treasury yield curve.
3 ^* _0 T# X& a3 f; ~9 |8 EC. all points on the Treasury spot curve.# h2 |. b, `, k$ f
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10. The U.S. Treasury spot rates are provided in the following table：
$ g; c$ P* U/ a| 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: ) ~- f' C% k( X
A. 1.50%.
! o9 u# W4 R; K* {1 ^# ~B. 1.67%.
4 b" X# B4 W: P: J9 N' xC. 1.76%.
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