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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：- {- a( g" Z1 D
A. 3.85% 4 @1 Q- ` q- B- b
B. 7.69% 8 t; N+ k7 D3 l" O0 ?) x
C. 7.84%
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答案和详解，登录后回复可见：
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7. The U.S. Treasury spot rates are provided in the following table：4 `' t, }3 f: o& |% Q
| 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?
* H3 j; C: s. k0 z8 jA. $100.61 ! l8 G2 j9 M0 {/ n
B. $102.96
; |/ X3 P2 w E' dC. $98.92
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7 ^5 H, w5 ~# f; A5 t8. Tina Mo, a fixed income analyst, is asked to value a single, default-free cash flow of $60,000. She is given the information in the following table：0 a& U, K6 c# e, }) k
| Period | Years | Annual Par Yield to Maturity BEY | Theoretical Spot Rate BEY | 6-month Forward Rates BEY | | 1 | 0.5 | 2.00% | 2.00% | 2.00% | | 2 | 1.0 | 2.40% | 2.40% | 2.71% | | 3 | 1.5 | 2.70% | 2.71% | 3.12% | | 4 | 2.0 | 3.20% | 3.23% | 4.55% |
. X A$ @' ?& IThe value of this single cash flow at the end of Period 4 is closest to:
% K; |1 \: o+ d; y* e3 q1 xA. $56,427 7 @( B1 v# y0 E' n o$ f
B. $56,309
) ^& p) O b0 ~. X0 n7 L( zC. $56,276 4 z- ]% @5 a2 S. p+ i/ v. I2 V, F
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! o9 f( T3 i" _) M: C, }7 G6 N9. The zero-volatility spread is a measure of the spread off:：
9 t0 p u$ A7 ? V# ?A. one point on the Treasury yield curve.
. y' s- b6 |' `: |; E1 X( DB. all points on the Treasury yield curve. & g! M6 s9 L5 x- [5 E+ X
C. all points on the Treasury spot curve./ x, b; ]% b( }$ G# f
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10. The U.S. Treasury spot rates are provided in the following table：
_- o- j: H: P- j8 ]+ A| 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 $89.464. Given the YTM of a 3-year Treasury is 12%, the Z- spread of the corporate bond is closest to:
+ F/ a6 `2 f1 l5 B: {2 o) @A. 1.50%. & @( Z! D5 q( n3 C( _5 e+ }0 E
B. 1.67%.
* K$ H; l7 g1 q# x+ TC. 1.76%.1 I. A; Q' W8 q5 o, }
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发表于 2017-9-3 15:17:23
