ACT245 Sum09 TT1 v05 Privacy Version Code A post test for web

ACT245 Sum09 TT1 v05 Privacy Version Code A post test for web

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ACT245 Sum09 TT1 v06 Privacy Version Code A post test for web Page 1 of 10 Family name, comma, personal names:____________________________________ Your student ID:______________________________________________________ Your signature: ______________________________________________________ UNIVERSITY OF TORONTO Faculty of Arts and Science ACT245 Sum09 TERM TEST 1, JULY 8, 2009 Duration 50 Minutes Aids: All calculators allowed. Scrap paper OK if needed. Instructor: Keith Sharp PhD FCIA FSA CFA NOTES: 1. Please identify your privacy version code in the page footer (small letters at bottom of this page, A, B, C or D) and blob it as the answer for the question after the last real question (so blob as question 11 for a 10-question term test, as question 25 for a 24 question final). 2. 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. Mark sense sheets: please write in both the blobs and eye-readable identifiers 6. Mark sense sheets: pencil preferred, ink might have to be hand-graded 7. Each question: 10 points correct, two if blank, zero points if wrong 8. So expectation if you guess is the same as leaving a blank. 9. Make sure you’ve indicated your letter answers on the mark sense sheet before time’s up 10. Please stay in your seats and don’t talk till all materials have been collected. 11. Photo ID on desk during exam 12. Name and student ID and signature on this question paper and on mark sense sheet 13. Good luck!
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ACT245 Sum09 TT1 v06 Privacy Version Code A post test for web Page 2 of 10 1. It is time t=0 years. You need to first-order immunize (match PV and duration) a payment of $1,000,000 which you need to make at time t=4 years. Market interest rates are 6% per annum effective for all terms, a flat yield curve. The only bonds available are zero coupon bonds with maturities at t=2 years and at t=7 years and you buy some of each. Calculate how much face value of the 7-year bond you buy. (A) Less than $580,000 (B) $580,000 but less than $610,000 (C) $610,000 but less than $640,000 (D) $640,000 but less than $670,000 (E) $670,000 or more (A) Solution: D MAC (L)=4. Work in $000,000
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ACT245 Sum09 TT1 v05 Privacy Version Code A post test for web

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