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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：" w! l: u" W7 O1 D( ~
A. 3.85%
* {# f5 c0 r7 F, t& bB. 7.69% ; r; [% e2 `( {- Z
C. 7.84%
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, f; ^: e. E8 B) x" i/ L* x6 O答案和详解，登录后回复可见：$ j' L. W8 L$ ?, R
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7. The U.S. Treasury spot rates are provided in the following table：
# {+ z* d' {0 g/ P$ g; S3 j| 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?
, A! D- e; m! B& _/ AA. $100.61 4 b: b! k8 r1 a8 J8 z
B. $102.96 / T, V% J# n2 v4 E( a
C. $98.92
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8. Tina Mo, a fixed income analyst, is asked to value a single, default-free cash flow of $60,000. She is given the information in the following table：
* D! x' Z3 x* w$ F| 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:
, y ~, b/ d: j0 pA. $56,427
U) b+ B5 t3 FB. $56,309 / ~4 D9 s3 j6 P" L& ?; \4 C
C. $56,276 " i, w# S! V2 K
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1 j4 Y3 `/ e; |% P+ `! l9. The zero-volatility spread is a measure of the spread off:：$ Z: R0 m2 i! e
A. one point on the Treasury yield curve. 2 G3 i& s& z9 F
B. all points on the Treasury yield curve. h" G, w5 f4 m. { A- s& K( P
C. all points on the Treasury spot curve.
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8 f6 I8 X9 z% E# |4 X8 V- X9 \; l10. The U.S. Treasury spot rates are provided in the following table：
; q: K! x0 `" t2 P" T| 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 $89.464. Given the YTM of a 3-year Treasury is 12%, the Z- spread of the corporate bond is closest to: . A( J: l$ j' s, k, c0 T" v
A. 1.50%.
8 e: ~1 P6 B1 m& O( J9 q8 `6 S, ]B. 1.67%. ' y8 k) m& v( ?, {
C. 1.76%.
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发表于 2017-9-3 15:17:23
