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精算师北美地区2003年5月SOA考试真题——Course6（第五课程）

来源：高顿网校 2014-08-31

　　精算师北美地区2003年5月SOA考试真题——Course6（第五课程）是高顿网校小编为您8月31日一大清晨为您整理完毕的。
　　18. X. Enhanced indexing strategy I. Least risk of underperforming the

　　index.

　　Y. Pure bond index matching II. Matches primary risk factors without

　　acquiring each issue in the index.

　　III. Common strategy used by smaller

　　funds.

　　19. X. Caps and Floors I. Protect the user from changes in

　　interest rate volatility.

　　Y. Interest Rate Swaps II. Provide asymmetric coverage in

　　capping liability costs.

　　III. Protect the rate of return on assets.

　　Course 6: Spring 2003 - 28 - GO ON TO NEXT PAGE

　　20. X. Collateralized mortgage obligation

　　(CMO) classes that provide for

　　redirection of principal payments

　　I. Accretion-directed classes

　　Y. CMO classes that provide for

　　redirection of interest payments

　　II. Targeted amortization classes

　　III. Z bonds

　　21. X. Pure Expectations Theory

　　I. Term structure of interest rates reflects

　　the market’s current expectations of

　　future short-term rates.

　　Y. Market Segmentation Theory II. Market participants have investment

　　strategies dictated by the nature of their

　　liabilities.

　　III. Does not account for risks inherent in

　　investing in bonds.

　　22. X. Digital options I. Payoff depends on whether the

　　underlying asset value is above or

　　below a fixed amount on the expiration

　　date.

　　Y. Gap options II. Include all-or-nothing options.

　　III. Payoff is only made if the asset price on

　　the expiration date is above or below a

　　strike price different from that used for

　　the payoff.

　　Course 6: Spring 2003 - 29 - GO ON TO NEXT PAGE

　　Course 6: Spring 2003 - 30 - GO ON TO NEXT PAGE

　　18-23. Each of questions 18 through 23 consists of two lists. In the list at the left are two items,

　　lettered X and Y. In the list at the right are three items, numbered I, II, and III. ONE of the

　　lettered items is related in some way to EXACTLY TWO of the numbered items. Indicate the

　　related items using the following answer code:

　　Lettered Item

　　Is Related to Numbered Items

　　(A)

　　I and II only

　　(B)

　　II and III only

　　(C)

　　I and II only

　　(D)

　　I and III only

　　(E)

　　The correct answer is not given by (A), (B), (C) or (D).

　　23. X. Interest rate collar I. Purchase of a cap at one strike rate and

　　the sale of a floor at a lower strike rate.

　　Y. Interest rate corridor II. Purchase of a cap at one strike rate and

　　the sale of another cap at a higher strike

　　rate.

　　III. Described as swapping into a bond.

　　Course 6: Spring 2003 - 31 - GO ON TO NEXT PAGE

　　USE THIS PAGE FOR YOUR SCRATCH WORK

　　Course 6: Spring 2003 - 32 - GO ON TO NEXT PAGE

　　24. You are given the following with respect to a convertible bond:

　　? coupon: 5%

　　? redemption value: 100

　　? current market price: 100

　　? conversion ratio: 1.18

　　? floor price: 97.00

　　? stock price: 82.75

　　Calculate the minimum value of this bond.

　　(A) 95.00

　　(B) 97.00

　　(D) 100.00

　　(E) 100.25

　　Course 6: Spring 2003 - 33 - GO ON TO NEXT PAGE

　　USE THIS PAGE FOR YOUR SCRATCH WORK

　　Course 6: Spring 2003 - 34 - GO ON TO NEXT PAGE

　　25. You are given the following with respect to a putable bond:

　　? annual coupon rate: 8%

　　? time to maturity: 2 years

　　? current put price: 105

　　? put price in one year: 102

　　? current one-year interest rate: 6%

　　? one-year interest rate in one year:

　　4.8% or 7.5%

　　with equal probability

　　Calculate the value of the put option.

　　(A) 0.00

　　(B) 0.72

　　(D) 4.27

　　(E) 5.00

　　Course 6: Spring 2003 - 35 - GO ON TO NEXT PAGE

　　USE THIS PAGE FOR YOUR SCRATCH WORK

　　Course 6: Spring 2003 - 36 - GO ON TO NEXT PAGE
　　求学的三个条件是：多观察、多吃苦、多研究。——高顿网校名人名言

扫一扫微信，关注精算师*7考试动态

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