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"Fixed Income": Introduction to Fixed-Income Valuatio

来源: 正保会计网校 编辑:小鞠橘桔2021/02/24 16:28:59 字体:

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Questions 1:

A two-year spot rate of 5% is most likely the:

A 、yield to maturity on a zero-coupon bond maturing at the end of Year 2.

B、 coupon rate in Year 2 on a coupon-paying bond maturing at the end of Year 4.

C、 yield to maturity on a coupon-paying bond maturing at the end of Year 2.

Questions 2:

In using matrix pricing to estimate the required yield spread on a new corporate bond issue,the benchmark rate used is most likely to be the:

A 、coupon rate on a government bond with a similar time to maturity.

B 、yield to maturity on a corporate bond with similar credit risk and time to maturity.

C、yield to maturity on a government bond with a similar time to maturity

View answer resolution
【Answer to question 1】A

【analysis】

A is correct. A spot rate is defined as the yield to maturity on a zero-coupon bond maturing at the date of that cash flow.

B is incorrect because the spot rate is the yield to maturity on a zero-coupon bond maturing at that point in time and not the coupon rate on a coupon-paying bond.

C is incorrect because the spot rate is the yield to maturity on a zero-coupon bond maturing at that point in time and not the yield to maturity on a coupon-paying bond.

【Answer to question 2】C

【analysis】

C is correct. The benchmark rate is the yield to maturity on a government bond with the same, or similar, time to maturity.

A is incorrect because the benchmark rate is measured relative to the yield to maturity and not the coupon rate.

B is incorrect because the benchmark rate is measured relative to the yield to maturity of a government bond, not a similar corporate bond.

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