单选题 Consider the following Treasury spot rates expressed as annual bond equivalent yields:
Maturity
Spot Rate

6 months

1 gear

1.5 years

3.0%

3.5%

4.0%

4.5%

Two Treasury notes each with $1000 par values have two years remaining to maturity. Allowing for rounding to the nearest dollar, Treasury note 1 hasA. 4% semiannual coupon and is priced at $991, and Treasury note 2 hasA. 5% semiannual coupon and is priced at $1008. What can you conclude about the market prices of these two notes? Treasury note 1 Treasury note 2 A. Correctly priced Underpriced B. Overpriced Underpriced C. Correctly priced Correctly priced
【正确答案】 A
【答案解析】 At $991 (rounded), T-note 1 is correctly priced. However at $1008, T-note 2 is priced below the present value of its cash flows ($1010) and is therefore under-priced.