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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：% ]# Q ?- ~1 u$ k0 }
A. 3.85%
( V, f2 E6 j3 H) n0 B. s# t, {B. 7.69%
! F m4 w. v/ @* ?5 `8 k, W- @C. 7.84%
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X; J$ U' V( O7 o; _答案和详解，登录后回复可见：- i l9 I" K% ?
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7. The U.S. Treasury spot rates are provided in the following table：
0 y F& \/ B. `1 ^9 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? 7 N7 O/ Q0 \& i8 l' b( J
A. $100.61
& s' n5 L5 g' l/ E) FB. $102.96 ' s7 s$ d0 X) \; z
C. $98.92 * d: V, h5 v/ b( n
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, Y6 B1 l1 I. d! e* [& M8. Tina Mo, a fixed income analyst, is asked to value a single, default-free cash flow of $60,000. She is given the information in the following table：
/ Y; |3 g. e2 ?' k| Period | Years | Annual Par Yield to Maturity BEY | Theoretical Spot Rate BEY | 6-month Forward Rates BEY | | 1 | 0.5 | 2.00% | 2.00% | 2.00% | | 2 | 1.0 | 2.40% | 2.40% | 2.71% | | 3 | 1.5 | 2.70% | 2.71% | 3.12% | | 4 | 2.0 | 3.20% | 3.23% | 4.55% |
) j6 _ s- y# P6 w s& P9 XThe value of this single cash flow at the end of Period 4 is closest to: ! j+ A6 s9 C; Q* y' O/ |: a$ ?
A. $56,427 ! S8 I0 O n5 d. T1 D1 b) d
B. $56,309
6 x f! R! O& x7 S3 h3 f6 Y0 cC. $56,276 , y5 F/ f" @, a" o" g
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5 M: w+ a7 }4 J3 D) W6 B$ E9. The zero-volatility spread is a measure of the spread off:：& p: }6 f* D9 W" y. f- U
A. one point on the Treasury yield curve.
4 Y! C7 A% C* h1 p- lB. all points on the Treasury yield curve.
. b( I) L6 Z4 v8 q+ W. x7 MC. all points on the Treasury spot curve.
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' c4 z; G! M% {; o: G8 E/ I# K0 T10. The U.S. Treasury spot rates are provided in the following table：
" U5 J5 F7 G; l| 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 $89.464. Given the YTM of a 3-year Treasury is 12%, the Z- spread of the corporate bond is closest to: # }! c- U" ]/ w, }* F
A. 1.50%. , S8 s! Q4 h* F8 ]; r
B. 1.67%.
! x' E g2 x$ |C. 1.76%.
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