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May2004Course6（最后一部分）——北美精算师考试SOA真题

来源：高顿网校 2014-07-23

　　北美精算师考试频道有May2004Course6（最后一部分）——北美精算师考试SOA真题，赶紧来学习。
　　12. (8 points) You are given the following:

　　Time to Maturity Effective Annual Spot Rate

　　0.5 years 5.00%

　　1.5 years 5.50%

　　2.5 years 6.10%

　　3.5 years 6.25%

　　4.5 years 6.50%

　　? the valuation date is December 31, 2004

　　? liability cash flows are as follows:

　　Time of Cash Flow Liability Amount

　　June 30, 2005 25

　　June 30, 2006 20

　　June 30, 2007 15

　　June 30, 2008 10

　　June 30, 2009 5

　　? the Macauley duration of the liabilities is 1.75 years

　　? the convexity of the liabilities is 5.5 years

　　? the universe of publicly traded bonds at 100 par value as at

　　December 31, 2004 is as follows:

　　Bond Maturity Annual Coupon Effective Annual Yield

　　A June 30, 2005 10.0% 5.00%

　　B June 30, 2006 7.5% 5.50%

　　C June 30, 2007 6.5% 6.50%

　　D June 30, 2008 5.0% 6.50%

　　E June 30, 2009 4.0% 6.50%

　　(a) Calculate the Macauley duration of Bond B.

　　(b) Compare immunization and cash flow matching strategies.

　　(c) Construct an immunized portfolio using Bond A and Bond E that protects against

　　interest rate movements.

　　(d) Determine a cash flow matched portfolio using the universe of available bonds.

　　Show all work.

　　Course 6: Spring 2004 - 4 - GO ON TO NEXT PAGE

　　Afternoon Session

　　13. (6 points) A bond portfolio consists of three bonds, each issued at the same par value.

　　You are given the following projected results over a one-year planning horizon under

　　three different interest rate scenarios.

　　Scenario Bond Total Annual Return % Duration

　　1 X 11.9 2.3

　　Y 10.1 1.4

　　Z 10.7 1.1

　　2 X 8.2 2.3

　　Y 8.4 1.4

　　Z 8.3 1.1

　　3 X 5.7 2.3

　　Y 6.1 1.4

　　Z 5.6 1.1

　　Each of the three scenarios is equally likely to occur and the total portfolio consists of

　　one of each of the bonds.

　　(a) Describe Strategic Frontier Analysis.

　　(b) Using the Strategic Frontier Analysis, plot the graph and evaluate each of the

　　bonds.

　　(c) Describe Relative Return Value Analysis.

　　(d) Using the Relative Return Value Analysis, plot the graph and evaluate each of the

　　bonds.

　　Show all work.

　　Course 6: Spring 2004 - 5 - STOP

　　Afternoon Session

　　14. (5 points) You are given the following with respect to a Treasury instrument:

　　? days to maturity: 110

　　? bid: 4.48%

　　? ask: 4.46%

　　? change: +0.02%

　　? ask yield: 4.50%

　　(a) Calculate as of today:

　　(i) Market Price

　　(ii) Bond Equivalent Yield

　　(iii) Effective Annual Yield

　　(b) Describe the characteristics of U.S. Treasuries and how they are made available to

　　markets.

　　(c) Describe the characteristics of Agency Securities and how they are made

　　available to markets.

　　Show all work.
　　高顿网校之名言警句：人生须知负责任的苦处，才能知道尽责任的乐趣。——梁启超

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