245 2007 - Family name, comma, personal names:_ Your...

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ACT245H1F Test 2 Feb 27, 2007 Privacy Code A v06.docx Page 1 out of 7 Family name, comma, personal names:_______________________________ Your student ID:_________________________________________________ UNIVERSITY OF TORONTO Faculty of Arts and Science ACT245H1 WINTER 2007 TEST 2 Duration – 50 Minutes Aids: All calculators allowed Instructor: Keith Sharp PhD FSA NOTES: 1. Calculators allowed 2. Scrap paper is to be handed in with this book. It’s OK to write on book. 3. This is a closed book exam. 4. Multiple choice: only your letter answer mark sense sheet will be graded. 5. Each question: 10 points correct, two if blank, zero points if wrong 6. So expectation if you guess is the same as leaving a blank. 7. Timing: 50 minutes 8. Make sure you’ve indicated your letter answers on the mark sense sheet before time’s up 9. Please stay in your seats and don’t talk till all question papers and mark sense sheets have been collected. 10. Photo ID on desk during exam. 11. Name and student ID on this question paper and on mark sense sheet please. 12. Good luck!
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ACT245 WINTER 2007 TERM TEST 2 ACT245H1F Test 2 Feb 27, 2007 Privacy Code A v06.docx Page 2 out of 7 1. (zz01-016 DM2-Ch01-Prob1.6v02) (Assignment Feb 15, 2007) Suppose you short-sell 300 shares of XYZ stock at $30.18 with a commission charge of 0.5%. There is a zero margin requirement. Supposing you pay commission charges for purchasing the security to cover the short-sale, how much profit have you made if you close the short-sale at a price of $29.87? (A) Less than $3.600 (B) $3.600 but less than $3.700 (C) $3.700 but less than $3.800 (D) $3.800 but less than $3.900 (E) $3.900 or more (A)Solution Profit = 300*[(30.18-29.87) – 0.005*30.18 – 0.005*29.87] = $2.925 2. (zz02-023 Sharp401404520821) On January 1, 2009 you enter into a one-year forward contract at a price of $X, paid January 1, 2010, to buy $100 par of the Canada 8% Dec 31, 2016 bond, which has semiannual coupons. At January 1, 2009 the yield curve is flat and all market interest rates are 5% per annum convertible semi-annually. Calculate X. (A) Less than $114.000
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245 2007 - Family name, comma, personal names:_ Your...

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