|
|
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：
' `+ |- U3 q8 {2 ~A. 3.85% ' m8 x. q6 Y% D
B. 7.69% . S: V5 C3 n% m, @. }/ G4 u
C. 7.84% % ]% m8 y7 d ` f+ Q6 Y9 h
2 _1 ^& O) E* r; R2 ~+ }
答案和详解，登录后回复可见：
4 t, |6 G: N' Z/ k) P
9 h2 n0 R, t5 c# j1 ?4 D
; h* z3 s& w) K5 m% v
$ C0 g8 R0 T. k& [$ j7. The U.S. Treasury spot rates are provided in the following table：: s3 e2 E. v- [/ A v4 [6 h# z$ O
| 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?
+ S& E" M% j+ k2 aA. $100.61 6 m9 p. x2 u& g4 x4 U4 u
B. $102.96
$ P0 i/ L% i9 \- b+ w4 o" dC. $98.92 : q! L, ^/ p' x- [, m% c7 `4 S* d# x
, }4 ?4 |/ k3 G
+ x& o( |% S# o8 b- l P$ k: L! G Y
+ K0 C1 q& n# T* B+ w9 C8. Tina Mo, a fixed income analyst, is asked to value a single, default-free cash flow of $60,000. She is given the information in the following table：
Z- s+ N. D& e& L9 ]; j( G| Period | Years | Annual Par Yield to Maturity BEY | Theoretical Spot Rate BEY | 6-month Forward Rates BEY | | 1 | 0.5 | 2.00% | 2.00% | 2.00% | | 2 | 1.0 | 2.40% | 2.40% | 2.71% | | 3 | 1.5 | 2.70% | 2.71% | 3.12% | | 4 | 2.0 | 3.20% | 3.23% | 4.55% |
1 D% I) P. f& `, lThe value of this single cash flow at the end of Period 4 is closest to: . d0 R( W$ ^% ]4 Z% h4 G
A. $56,427
7 g8 S0 v# a5 U' ?% X$ sB. $56,309 1 Z, `; T# e. `1 c3 Y6 O
C. $56,276 4 [5 _6 K3 U* P) K; g9 v
) i( d2 c/ h* H" N# K. }$ n# O- a! T" `. N
1 `* ?: s8 }# M* ?1 T/ h& G
% W9 W8 I8 v; p/ V, E& ~* U
9. The zero-volatility spread is a measure of the spread off:：0 G; D) C, b6 @; L# q0 |
A. one point on the Treasury yield curve. 7 r" d" P7 J" \ _
B. all points on the Treasury yield curve. $ I& h/ q% y; }# F- M" S8 T1 z
C. all points on the Treasury spot curve.
* p* z: h3 q9 q! |: ~& N2 M$ ~) U$ q' i+ s' U
2 i3 D3 n, @% q5 y/ Z
; V' A w5 q$ O" N0 r4 Z6 q! n
) x y* n( g2 t2 M( F
10. The U.S. Treasury spot rates are provided in the following table：
1 }' l1 Q* ]' R2 L0 W8 D `| 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 $89.464. Given the YTM of a 3-year Treasury is 12%, the Z- spread of the corporate bond is closest to:
( ^! a. A) j% x; n6 ~A. 1.50%.
1 O! Q4 n4 @" }1 \, jB. 1.67%. ( d% Q2 `6 ^/ |* G0 A5 g- q
C. 1.76%.
) Y' y, }; Q, u! W5 Y& W4 t' [! n6 v; ]
) g" z$ v, t1 b# f! B1 x1 m! R; z' q% b2 @9 a; N
更多CFA习题可关注：高顿CFA题库
( E2 O3 T: K0 n! e, i关注微信CFA-FRM （CFAFighting）CFA考试资讯抢先得
. g, ~: B2 l; \- R" W) j$ E1 Y( g; |0 j$ y
|
|
[复制链接]
发表于 2016-1-7 09:11:45
发表于 2017-9-3 15:17:23
