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"Fixed Income": Introduction to Fixed-Income Valuatio
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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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