2018年9月英国精算师-金融数学真题

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  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. [3]


  (ii) Suggest one factor, other than the rate of return, which might determine which investment is chosen. [1] [Total 4]


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


  Calculate:


  (i) the equivalent force of interest; [1]


  (ii) the equivalent rate of interest per annum convertible monthly; [2]


  (iii) the equivalent rate of discount per annum convertible monthly. [1] [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. [3]


  (ii) Explain why the money-weighted rate of return per annum would be higher than the time-weighted rate of return per annum. [2] [Total 5]



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