题目 The following Treasury zero rates are exhibited in the market place:6 months = 1.25%1 year = 2.35%1.5 years = 2.58%2 years = 2.95%Assuming continuous compounding, the price of a 2-year [...]
题目 Key aspects of stress testing governance include coverage, types (and approaches) and capital/liquidity. Each of the following is true about these three general aspects EXCEPT which of the [...]
题目 The price of a three-year zero coupon government bond is $94.23 and the price of a similar five-year bond is $82.99. Under annual compounding, what is the two-year implied forward rate from [...]
题目 You have been asked to check for arbitrage opportunities in the Treasury bond market by comparing the cash flows of selected bonds with the cash flows of combinations of other bonds. If a [...]
题目 The first U.S. Treasury bond has a price of $99.98, matures in six months, and pays a semi-annual coupon at a rate of 3.0% per annum. The second U.S. Treasury bond has a price of $101.11, [...]
题目 Given the following information, which of the following amounts is closest to d (l.0), the discount factor for the first year?「huixue_img/importSubject/1564170384083914752.jpeg」 选项 [...]
题目 A $1,000 par bond carries a coupon rate of 6%, pays coupons semiannually, and has 12 years remaining to maturity. Market rates are currently 8%. The price of the bond is closest to: 选项 [...]
题目 A 5-year corporate bond paying an annual coupon of 8% is sold at a price reflecting a yield-to-maturity of 6% per year. One year passes and the interest rates remain unchanged. Assuming a flat [...]
题目 Assume the two-year term structure of spot rates is upward-sloping as follows: 1.0% at 0.5 years, 2.0% at 1.0 years, 3.0% at 1.5 years, 4.0% at 2.0 years. Consider the following two [...]
题目 The following discount function contains semi-annual discount factors out to two years: d(0.5) = 0.9970, d(1.0) = 0.9911, d(1.5) = 0.9809, d(2.0) = 0.9706. What is the implied eighteen-month [...]
