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2018年9月英国精算师-金融数学真题 28 September 2018 (pm)

Subject CT1 – Financial Mathematics Core Technical

1 An investor is considering two investments. One investment is a 91-day bond issued by a bank which pays a rate of interest of 4% per annum effective. The second is a 91-day treasury bill which pays out €100.

(i) Calculate the price of the treasury bill and the annual simple rate of discount from the treasury bill if both investments are to provide the same effective rate of return. 

(ii) Suggest one factor, other than the rate of return, which might determine which investment is chosen.  [Total 4]

2 The effective rate of discount per annum is 5%.

Calculate：

(i) the equivalent force of interest; 

(ii) the equivalent rate of interest per annum convertible monthly; 

(iii) the equivalent rate of discount per annum convertible monthly.  [Total 4]

3 An investment fund is valued at £60m on 1 January 2016 and at £70m on 1 January 2017. Immediately after the valuation on 1 January 2017, £100m is paid into the fund. On 1 July 2018, the value of the fund is £300m.

(i) Calculate the effective time-weighted rate of return per annum over the whole period. 

(ii) Explain why the money-weighted rate of return per annum would be higher than the time-weighted rate of return per annum.  [Total 5] 