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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：4 o( y# h0 a# Z9 f
A. 3.85% ! \, h8 t0 w7 ]9 S* \" L2 g9 v1 v6 _6 q0 J
B. 7.69%
. {6 d! \1 k4 zC. 7.84% ! C) l/ T5 ]+ H" a6 d5 Y
L4 y4 c/ w- R+ v) H; m3 O答案和详解，登录后回复可见：( w) U6 j3 m5 u9 P3 o
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7. The U.S. Treasury spot rates are provided in the following table：; U4 C c' @3 q- Q* g# m3 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? 3 o% |( j/ L, Z/ }' ^8 o
A. $100.61 # X. p( b& r* G+ O9 Y4 P3 ]
B. $102.96 % w: B J$ M% D% L# i
C. $98.92 % R: I9 ]8 R: {9 Q/ W V- j2 d
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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：
% b+ A: z- c( q2 U9 c" B| 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: 2 F {/ J; W2 m; B1 \1 n
A. $56,427 / r1 R) O% a6 z. Z6 P+ e
B. $56,309 ) `2 ^8 i% v" d4 d4 K
C. $56,276
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9. The zero-volatility spread is a measure of the spread off:：
: i* g8 i+ t ^6 t1 u. @# ], w9 iA. one point on the Treasury yield curve. # |2 q$ J8 K$ Z$ M) U. B
B. all points on the Treasury yield curve. s. v2 ?! Q; C% V% [
C. all points on the Treasury spot curve.6 ^1 S) h& o- k7 m" L# k
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0 E8 l: Q6 K* v. `10. The U.S. Treasury spot rates are provided in the following table：
* G: K6 f- f+ \" w" B| 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 $89.464. Given the YTM of a 3-year Treasury is 12%, the Z- spread of the corporate bond is closest to:
. G2 L$ x6 L* F( h `" B$ q; w' yA. 1.50%. 5 E' ]* K$ h, H$ G
B. 1.67%.
; x, a! q+ F+ l: \. g YC. 1.76%.+ x( e' e: }, V8 F: x( ?; r+ p) v
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发表于 2016-1-7 09:11:45
发表于 2017-9-3 15:17:23
