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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： h4 o: B* K# a* G: k
A. 3.85% ( x5 T& @5 l! O( }3 ^
B. 7.69% $ P1 A8 H9 l/ l
C. 7.84%
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答案和详解，登录后回复可见：
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% Q8 e/ k) {6 {" w7. The U.S. Treasury spot rates are provided in the following table：) f m. r4 M% \# C; O: c
| 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? 1 m, V1 a) y8 F" n. e
A. $100.61
9 @+ t- m5 _% }B. $102.96 v% y' p$ p& h4 t
C. $98.92
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8. Tina Mo, a fixed income analyst, is asked to value a single, default-free cash flow of $60,000. She is given the information in the following table：6 [, F9 y n. [ {$ c
| 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: " w/ z5 T. r8 g0 o- ~
A. $56,427
3 T4 H6 h/ P! W4 [4 R0 }7 }) qB. $56,309 - h! \# R K7 S& ?7 j- A
C. $56,276 3 r4 |" F: d8 L
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9. The zero-volatility spread is a measure of the spread off:：
6 N5 f/ D1 i2 n, {0 aA. one point on the Treasury yield curve. # F, G$ |5 \/ P ]$ G$ h
B. all points on the Treasury yield curve. & ~& w; Y+ f1 K! y% O% A$ `
C. all points on the Treasury spot curve.
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10. The U.S. Treasury spot rates are provided in the following table：
! F. b# G; ` F4 B8 f' J! g: C| 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: 1 `7 J5 K* H+ m: S: L
A. 1.50%.
6 D( j% L& `: d& |& w- O) t( eB. 1.67%. / ?+ t9 n( I; X0 W& s
C. 1.76%." S4 L0 y/ V4 G3 i
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发表于 2016-1-7 09:11:45
发表于 2017-9-3 15:17:23
