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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：
! R5 A0 A. ?$ S5 tA. 3.85% 9 X* N# {: H6 z4 Q% H6 @: o* J# X3 {
B. 7.69% 6 [9 ?/ n# p2 G2 q
C. 7.84%
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答案和详解，登录后回复可见：5 e$ r' y {2 o& p' C# l- o1 J' l: S
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* G b6 \ z. z0 U; Q7. The U.S. Treasury spot rates are provided in the following table：, X3 n5 d& b5 j- {, _
| 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? # J- A& V* f3 O& H+ h
A. $100.61
; Q ^1 o' C& w' N! N# sB. $102.96 3 d3 F b( \- Q& e: f
C. $98.92 " _* v8 h4 I- u( N) Z
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8. Tina Mo, a fixed income analyst, is asked to value a single, default-free cash flow of $60,000. She is given the information in the following table：
# z6 t( m, {$ r| 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% |
) w; T3 `: g/ K7 I4 i* J `The value of this single cash flow at the end of Period 4 is closest to:
; i( y4 l! V0 h/ }; J# i6 e: U1 oA. $56,427
5 |9 l, B! B: t& h7 N {# H- ^B. $56,309 + l8 z2 e3 y4 `. k; C
C. $56,276
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/ r* H* m! ]. f9. The zero-volatility spread is a measure of the spread off:：! h: e3 U V; u& ?" w" P
A. one point on the Treasury yield curve.
! ^# Y( G2 e; n7 N3 dB. all points on the Treasury yield curve.
2 B& ]: T; a6 _/ a* Y5 n) uC. all points on the Treasury spot curve.
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10. The U.S. Treasury spot rates are provided in the following table：
( n5 G9 m, G; P' {! q* z| 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 $89.464. Given the YTM of a 3-year Treasury is 12%, the Z- spread of the corporate bond is closest to:
" ^0 L: |7 B8 b8 v* e% ^A. 1.50%. + _5 X# q. T8 K/ c+ {2 m& T
B. 1.67%.
. K8 t$ C' ^; A, E4 d1 i& hC. 1.76%.
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发表于 2016-1-7 09:11:45
发表于 2017-9-3 15:17:23
