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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：# Y( Y. f* i3 H- M: @" j
A. 3.85% 3 D. W$ ~, i' l2 a8 p6 ]' j
B. 7.69%
: a, W2 M! }3 W& J6 \2 V! GC. 7.84%
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0 G: u S# N U7. The U.S. Treasury spot rates are provided in the following table：
( A2 S% a6 D4 T- d0 R' J0 {5 {+ G! 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 `3 J2 `9 }$ V6 Z* \; W# VA. $100.61 : [# a6 K; X, E( X* E4 ?6 e, Z
B. $102.96 : K; }; P' Y# r4 D' F
C. $98.92
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/ X. f8 t+ ]) B: `0 r0 Z! U% m8. 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：
# Q3 [0 } v6 ?, r: 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% |
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The value of this single cash flow at the end of Period 4 is closest to:
% F- h4 M+ B) Z% l R T; IA. $56,427 ' V: {: {7 j, T
B. $56,309 ]4 ~) x$ M' h
C. $56,276 0 }3 Z; p6 J5 Q' G$ w( [
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+ q7 m( O9 Z, ~) Q& g& d' c9. The zero-volatility spread is a measure of the spread off:：' ^+ C& f% W) B1 r
A. one point on the Treasury yield curve.
; E U# v [/ y" c; [( @B. all points on the Treasury yield curve.
# r( n6 w7 e# YC. all points on the Treasury spot curve.
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10. The U.S. Treasury spot rates are provided in the following table：
, k+ ]" U8 i$ n' G5 r- i/ [3 ~| 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 $89.464. Given the YTM of a 3-year Treasury is 12%, the Z- spread of the corporate bond is closest to:
. J9 N4 N5 e* S+ H. @' S& GA. 1.50%. - P) d- @; N' Z3 h% m$ o
B. 1.67%.
& m( L* u) N% N6 B2 p2 EC. 1.76%.
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发表于 2016-1-7 09:11:45
发表于 2017-9-3 15:17:23
