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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：
6 e9 e) X$ j7 B" N. `; ^; lA. 3.85%
+ w _* p. O M, @B. 7.69% , Q) A0 c r- w# ^
C. 7.84% ; t' H. A/ b& u, Q9 C9 E3 G$ T
' |- M3 B; y* Z# O, t. x答案和详解，登录后回复可见：" J" X5 K4 u3 a( [
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% }: T' s8 y8 _; y- B7. The U.S. Treasury spot rates are provided in the following table：% E* x, o1 ?9 f, I" B" O/ m
| 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? 1 r6 u H% l; [8 q$ b
A. $100.61
2 e2 u. m$ w7 U3 GB. $102.96
1 B9 k% ]4 ]/ m, ^/ c& y- aC. $98.92 # \! p9 D: b3 Q5 H7 U1 Q; {+ J8 x
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0 t7 ^ y- F3 ~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：& I2 ~/ n% {4 M8 r
| 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% |
7 x: J. ^9 h, V6 hThe value of this single cash flow at the end of Period 4 is closest to: 1 J. u. x+ j0 [& P
A. $56,427 ) {6 O, |! Y! \
B. $56,309
8 Q/ V( C/ r6 ~7 H( a8 YC. $56,276 . q# ^0 w. a. Y; \6 B6 x5 N
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9. The zero-volatility spread is a measure of the spread off:：
+ [( A0 S; X4 x; u0 f: Z g( fA. one point on the Treasury yield curve. % l, H7 S& a2 M+ p1 s+ H# C
B. all points on the Treasury yield curve.
. }7 C$ g. m0 {7 ` UC. all points on the Treasury spot curve./ l, h, g! k" A4 o6 E$ B+ R. y9 e
0 G0 [- E6 t5 o9 V: D" Q8 _) D; D* j5 X6 n3 M( r
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10. The U.S. Treasury spot rates are provided in the following table：
) N$ V* p5 z& ^) d! ~| 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 $89.464. Given the YTM of a 3-year Treasury is 12%, the Z- spread of the corporate bond is closest to: ! R4 i3 q- o9 J) x% ?
A. 1.50%.
Z$ p F: J9 H/ B* ^$ ^% nB. 1.67%.
/ c% [5 M: j+ p* {C. 1.76%.3 s& G8 Q/ v4 r6 V. a5 ?
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