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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：
9 G8 N$ I8 A( V4 g& M$ ^: m$ WA. 3.85% : T( Z, Z7 `3 c* K- |! z* R
B. 7.69% 3 [" x" X) Q, ]) O
C. 7.84% * m m& \ n: Y T0 t: Y/ t2 X- u8 s
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答案和详解，登录后回复可见：
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& c u% Y, y8 e7. The U.S. Treasury spot rates are provided in the following table：
0 Z' u0 E& s, t, ~| 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? & C( G2 Z% G& l* |& O
A. $100.61 ( U* e' L8 r; S! L% Y$ r4 G6 A, o
B. $102.96 $ ?4 D& H* ?4 \
C. $98.92 ! y* E+ F: A9 Z' n' V) x: V- B
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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：( D' w8 K/ z2 a" 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% |
, A: [: T' x! ?The value of this single cash flow at the end of Period 4 is closest to:
5 W% J d; E L4 V( H) ]A. $56,427
, ?2 W, c# M$ V4 M. lB. $56,309 * g$ o C# z1 f ?3 Z
C. $56,276
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9. The zero-volatility spread is a measure of the spread off:：
0 c! l! y6 _" p+ x- @* S. {6 NA. one point on the Treasury yield curve. - z! C) {/ @- |/ B5 n$ T4 ]
B. all points on the Treasury yield curve.
, h( K# o: z! E/ T: YC. all points on the Treasury spot curve.! `1 E6 R# _) r+ p9 Q9 l, e
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10. The U.S. Treasury spot rates are provided in the following table：0 r; u. s- M, X+ f1 R" J3 G
| 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 $89.464. Given the YTM of a 3-year Treasury is 12%, the Z- spread of the corporate bond is closest to:
5 N( A8 F$ q. {0 x9 }: QA. 1.50%.
5 Q, L/ k; D/ lB. 1.67%. * y7 Z2 [- {( A8 q- Q2 q0 }( V
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
