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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：
$ K4 D) D" c, F4 v$ I+ X/ hA. 3.85%
: Y. S: }6 w9 q+ Z( ~3 n# @B. 7.69% 3 w5 F3 f' P0 m1 o, U6 s6 n
C. 7.84% * R5 ]# S% M' p1 k6 I r
& w6 [1 y! m/ k" E8 E& b, D
答案和详解，登录后回复可见：3 I% q$ [6 z) ^7 o! Y$ {. o
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j+ A* E" i$ l8 _7. The U.S. Treasury spot rates are provided in the following table：
, d# ]4 T( I, y0 W* n$ b* {" O$ d& K| 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?
( o3 T t* |: h4 W4 lA. $100.61
M) l ?4 h7 v7 H/ v3 gB. $102.96 ( {+ R! Z2 k% v$ ~
C. $98.92 * t, J5 y8 z. N8 t0 D& [) @& v
; ], d3 i2 @" X$ K$ `2 v& F
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8. Tina Mo, a fixed income analyst, is asked to value a single, default-free cash flow of $60,000. She is given the information in the following table：4 h0 E; y$ y o- T8 U0 |
| 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% |
4 ^9 y# m3 W N/ @The value of this single cash flow at the end of Period 4 is closest to:
. T1 W+ \( ~/ T/ B# V( }2 A5 X. I2 dA. $56,427
; [, p) }7 r$ d) X, `B. $56,309
1 a$ { V5 {" u1 N @* ~C. $56,276 ! d0 C" D9 e) Z |5 y1 L
7 b5 }& S, ]% a0 B) h2 p2 w
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9. The zero-volatility spread is a measure of the spread off:：
8 ^: O) h0 ?# vA. one point on the Treasury yield curve.
' C! e5 U; [8 @3 J" T; x( h0 PB. all points on the Treasury yield curve.
% [: M+ [4 I, B% b' OC. all points on the Treasury spot curve.
& n: o; g. @' O( L }: s8 o8 \$ p8 h5 }1 l% h! ?
. c% i* M( S" [- R- I+ M
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10. The U.S. Treasury spot rates are provided in the following table：2 }' J+ `! J2 C1 C8 ?$ `* s/ E4 n+ }: ?
| 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 v% M+ m9 Q! g1 n9 W4 \
A. 1.50%.
. P* H8 s" q( Z( rB. 1.67%.
2 L) X8 q( R) B! \9 ?" ^* JC. 1.76%.1 w. J2 J/ x! P# @# T. X' w, b
( A- Y* v- R6 O1 ~
! ?5 E& f+ E% F: d9 y, K3 Y' n; U# o: J+ `* w
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发表于 2016-1-7 09:11:45
发表于 2017-9-3 15:17:23
