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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 X. N# i5 W2 l& j* T# j& P3 AA. 3.85% 2 ?+ m9 b8 H3 K3 y& z
B. 7.69%
+ s' T# d! K f% W, {( Q: DC. 7.84% & U& g& D q7 ?8 p% S% o- _# E6 g
* ~3 I: P$ b: ~3 U1 Z: i答案和详解，登录后回复可见：" m, z6 z2 m8 @" ]5 h1 }3 [
: {2 t* u3 ^* z" G* a# z# w ~. @8 p$ o5 S
/ |3 k0 O5 Z, w7. The U.S. Treasury spot rates are provided in the following table：$ f; J( U0 R& \* }) C, a3 D
| 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?
6 Q3 I6 c, \( b1 d3 BA. $100.61 ! P( }) p8 H1 \! `
B. $102.96
0 G( ]' C. ]4 p8 E( [" dC. $98.92 & P' n, B; W k$ {, X
6 C y" H1 D2 S4 T1 w {5 N7 ?' I& |. U* ?' j9 O8 e1 v: o
. w, t) w* ^, T2 v
7 l# r2 S5 O! E8 J8 O
8. Tina Mo, a fixed income analyst, is asked to value a single, default-free cash flow of $60,000. She is given the information in the following table：
/ Q W$ F: v8 P# G- j. e( J| 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% |
/ {% Y) S0 c. ]The value of this single cash flow at the end of Period 4 is closest to: % R% r4 y# Q* S; o% T
A. $56,427
, B' V/ u- r6 bB. $56,309
& Z2 n$ B3 z! cC. $56,276 . t# Z' [6 ]$ M- w! `
0 u5 r I1 g Y! H' g
+ z1 j4 x) B3 f' B7 H5 I- u' w2 ^ L% ^/ w2 r: i4 o
' }! _& B1 \3 w1 x
9. The zero-volatility spread is a measure of the spread off:：2 Y% d$ W4 }0 @% u4 s
A. one point on the Treasury yield curve. 7 d/ B. w+ \ h" F/ c+ c
B. all points on the Treasury yield curve.
7 G. P: v) ~2 o7 d* FC. all points on the Treasury spot curve.$ V3 Q: i- I: c$ x
6 V! A# t' N2 e( U
) ?- T2 W2 Q; B2 [' W6 g8 H
0 y+ A) o/ r$ m! G+ z; ~+ s
* s5 P9 T' c4 V: x4 W10. The U.S. Treasury spot rates are provided in the following table：
9 o/ w% q- B9 P% Y/ k j' ~| 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 $89.464. Given the YTM of a 3-year Treasury is 12%, the Z- spread of the corporate bond is closest to:
9 w6 \' ~% V+ T# d- M% tA. 1.50%.
! x& o6 [9 Z- c7 ]5 c4 B2 tB. 1.67%.
0 R+ ^2 M* h# m; l* P2 Z9 [* eC. 1.76%.
- A8 H [4 r9 {2 s( E* R8 ]" c
9 d2 R% \1 p6 n; N: z
. Z3 J$ e) W! u; ]8 i, z- H' R* Q
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