北美精算师往年真题：May2002Course6第三课的课程是今天刚新鲜出炉的哦。
　　5. You are given the following information for a 15-year callable bond:
　　? annual coupon rate: 9% payable semi-annually
　　? price: 95.32
　　? effective duration: 3.17
　　? convexity measure (C): (67.31)
　　C
　　V V V
　　V y
　　= + + - -2
　　2
　　0
　　0
　　2 bD g
　　Calculate the price of the bond after a 50 basis point increase in interest rates.
　　(A) 93.65
　　(B) 93.97
　　(C) 95.32
　　(D) 96.67
　　(E) 96.99
　　COURSE 6: MAY 2002 GO ON TO NEXT PAGE
　　MORNING SESSION
 
　　6. You are given the following information with respect to a single-period securities model:
　　S P
　　S
　　0 10 10
　　1
　　11 33 0
　　11 0 0
　　11 0 22
　　b g
　　b g
　　=
　　=
　　L
　　N
　　MMM
　　O
　　Q
　　PPP
　　Determine the value of P which makes the model arbitrage-free.
　　(A) 14
　　(B) 15
　　(C) 16
　　(D) 17
　　(E) 18
　　COURSE 6: MAY 2002 GO ON TO NEXT PAGE
　　MORNING SESSION
 
　　7-16. Each of questions 7 through 16 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) X I and II only
　　(B) X II and III only
　　(C) Y I and II only
　　(D) Y I and III only
　　(E) The correct answer is not given by (A), (B), (C) or (D).
 
　　7. X. Asian call options I. Payoffs depend on the average price
　　of the underlying asset during the
　　life of the option.
　　Y. Lookback call options II. Guarantees the purchase of the asset
　　at the lowest price during the life of
　　the option.
　　III. Can use averages for the exercise
　　price.
 
　　8. X. Cliquet option I. Guaranteed exchange-rate contracts.
　　Y. Quanto option II. A series of standard call options that
　　pays the annual increase in the
　　underlying assets.
　　III. The strike resets at the beginning of
　　each year.
　　COURSE 6: MAY 2002 GO ON TO NEXT PAGE
　　MORNING SESSION
 
　　9. X. Interest rate corridor I. The purchase of a cap at one strike
　　rate and the sale of a floor at a lower
　　strike rate.
　　Y. Interest rate collar II. The purchase of a cap at one strike
　　rate and the sale of another cap at a
　　higher strike rate.
　　III. Sometimes described as swapping
　　into a bond.
 
　　10. X. Zero-coupon convertible bond I. Sacrifice yield
　　Y. Putable convertible bond II. Greater credit risk
　　III. Lower premium
　　11. X. Modified duration I. Allows for changing cash flows as
　　interest rates change.
　　Y. Effective duration II. Does not allow for changing cash
　　flows as interest rates change.
　　III. Not an appropriate measure for
　　callable bonds.
　　COURSE 6: MAY 2002 GO ON TO NEXT PAGE
　　MORNING SESSION
　　7-16. Each of questions 7 through 16 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) X I and II only
　　(B) X II and III only
　　(C) Y I and II only
　　(D) Y I and III only
　　(E) The correct answer is not given by (A), (B), (C) or (D).
　　所有的胜利，与征服自己的胜利比起来，都是微不足道。——高顿网校名言警句

 

 
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