"Fixed Income": Spot curve

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來源: 正保會計網校編輯：小鞠橘桔 2021/02/24 16:31:51　字體：大小

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Questions 1:

Consider a $100 par value bond with an 8% coupon paid annually, maturing in 20 years. If the bond currently sells for $96.47, the yield to maturity is closest to:

A 、8.37%.

B、 8.29%.

C、 7.41%

Questions 2:

Which of the following statements is most likely correct regarding the spot and forward curves. The spot curve:

A、 can be calculated from the forward curve, and the forward curve can be calculated from the spot curve.

B 、can be calculated from the forward curve, but the forward curve cannot be calculated from the spot curve.

C、 cannot be calculated from the forward curve, but the forward curve can be calculated from the spot curve.

View answer resolution

【Answer to question 1】A

【analysis】

A is correct. A security with a present value of 96.47, 19 interest payments of 8, and a 20th payment of principal plus interest (108) has a yield to maturity of 8.37%.

B is incorrect because it is the security’s current yield: ($8/$96.47).

C is incorrect because it is: $8/$108 = 0.0741.

【Answer to question 2】A

【analysis】

A is correct. The forward and spot curves are interconnected to each other. The spot curve can be calculated from the forward curve, and the forward curve can be calculated from the spot curve. Either curve can be used to value fixed-rate bonds.

B is incorrect because the spot curve can be calculated from the forward curve, and the forward curve can be calculated from the spot curve.

C is incorrect because the spot curve can be calculated from the forward curve, and the forward curve can be calculated from the spot curve.

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