1.To construct a theoretical spot-rate curve using Treasury securities, the class of securities that provides the most accurate prices but has the disadvantage of large maturity gaps is: A) strips. B) municipals. C) on-the-run securities. D) off-the-run securities.
2.Which of the following is a disadvantage of using all of the Treasury coupon securities to construct the theoretical spot rate curve?
A) The spot rate curve will be overfitted. B) The on-the-run Treasury securities trade too frequently. C) Real-time information is not available for all issues. D) The off-the-run Treasury securities tend to be mispriced.
3.Which of the following Treasury issues is typically NOT a candidate used to construct the theoretical spot rate curve?
A) Treasury coupon strips. B) Treasury principal strips. C) On-the-run Treasury issues. D) All Treasury coupon securities and bills.
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发表于 2008-4-18 11:23
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