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)
　　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).
 
　　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
　　(C) 97.65
　　(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
　　(C) 1.45
　　(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

 

 
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