北美精算师的乡亲父老们，赶紧来高顿网校露个脸哦。
　　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 *uate each of the
　　bonds.
　　(c) Describe Relative Return Value Analysis.
　　(d) Using the Relative Return Value Analysis, plot the graph and *uate 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.
　　高顿网校之考试励志汇总：每一个人都拥有生命，但并非每个人都懂得生命，乃至于珍惜生命。不了解生命的人，生命对他来说，是一种惩罚。