爱考云 - 搜题找答案神器_海量试题解析在线查

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 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 You just purchased a ten-year bond at a discount to par. The bond pays a quarterly coupon with a coupon rate of 4.0% per annum; i.e., 1% each quarter. The bond's yield is 8.0% per annum. Your [...]

题目 The spot rate term structure is upward-sloping: 1.0% at 0.5 years, 2.0% at 1.0 years, 3.0% at 1.5 years, and 4.0% at 2.0 years. What is the price of two-year $100 face value bond that pays a [...]

题目 Assume the following discount function, which is a set of discount factors: d(0.5) = 0.990, d(1.0) = 0.970, d(1.5) = 0.960, d(2.0) = 0.950. A U.S. Treasury bond pays a semi-annual coupon at a [...]

题目 Each of the following is necessarily true about a bond's yield (YTM) EXCEPT: 选项 A.If the term structure of spot rates is flat at X%, a bond's yield must be also be X% B.Regardless of the [...]

题目 For purposes of computing the market risk of a US Treasury Bond portfolio, it is easiest to measure: 选项 A.Yield volatility because yields have positive skewness. B.Price volatility because [...]

题目 Each of the following is necessarily TRUE about a bond's yield-to-maturity (YTM) EXCEPT: 选项 A.A bond that sells at a premium to par has a yield (YTM) that is less than its coupon rate B.A [...]

题目 A $10 million Treasury bond (note) with a 10-year maturity pays semi-annual coupons at a coupon rate of 4.0% per annum. If the bond is fully "stripped" such that STRIPS are created, each of [...]