ACTSC231 ASSIGNMENT 6 PART 1, DUE TUESDAY 27, JULY 27
(1) We are given the following prices for bonds paying annual coupons
maturity annual coupon price per $100 of par
1
10%
106.7961
2
2%
94.4588
3
8%
100.7571
Find the price of a 3year bond with annual
Actsc 231: Test #1  Spring 2010 (Blue)
Last name:
Marks:
First name:
/60
I.D.#:
Time period: 11:3012:50pm
Instruction:
(1) Problems do not appear in the order of diculties.
(2) You have to write your processes to get marks. A correct answer
without proc
Actsc 231: Test #2 Solution  Spring 2010 (Pink)
Problem 1: [5 points] Company X needs capital for expansion. It
borrows 1,000,000 from company Y for three years at annual eective
rate 6%, and another 500,000 for 5 years from company Z at a 5%
annual eect
Solution: = 20918, = 8%, = 6.8% . The cash flow includes two parts:
Exercise 6.8.6
(1) The face value of the ten bonds, which occur at the end of each year and each amount is
X, so the present value is 1 = 10
(2) The coupon occurring every half year, wit
ACTSC231 SOLUTION OF ASSIGNMENT 3
problems in text book:
page 236
(1)
(2)
(3)
(4)
5.2.2, 5.2.4, 5.2.6
5.3.2, 5.3.4,
5.4.2, 5.4.4, 5.4.6
chapter 5 Review: 2,4,6,8
Solution 5.2.2:
P82 = L v 301282+1 = L v 279 = 259.34,
P56 = L v 301256+1 = L v 305 = 230.19,
ACTSC 231 Mathematics
of Finance:
Course overview
Chapter 1 The growth of money
Accumulated value
Present Value
Simple Interest
Compound Interest
Rates of interest
Speeds can be expressed using different units (100
km/hr, 60 mph, 27.78 m/s, 1 min./m
Lectures Week 2
1.6 Interest in advance/effective rate of discount
Suppose the cost to borrow $1000 for 1 year was $43
payable now at time 0.
At time 0: borrow $1000 and pay $43 $957 is the
net amount received.
43
i 1 1000957 957 4. 4932079% (annual eff.
Lectures week 3
1.11 Constant Force of interest
Starting with compound interest at 1 i t
i m
m 1 i
1
m
1 and
d m
m 1 1 i
1
m
Example: Take i 5%
d d 1 1 1. 05
i 5%
i 2
4. 7619%
1
2
2 1. 05 1
d 2
4. 9390%
i 4
4. 8200%
1
4
4 1. 05 1 4. 9090%
i 365
3
Lectures week 8
3.12 Annuities using a general accumulation
function
Annuityimmediate:
PV
1
a n v1 v2 vn, where vt at is the
discount funtion.
AV
s n ana n
an
a1
an
a2
an
an1
an
an
an
an2
an
an1
Annuitydue:
PV
a n 1 v1 vn 1
AV
s n an n
an
1
an
a
ACTSC231 ASSIGNMENT 6 PART 2, DUE MONDAY, AUG 2
Instructions: You need to submit one Excel le that contains all your answers in
the Drop Box on the UWACE web site by the end of Monday Aug 2. You can use a
dierent sheet within your Excel le for each subq
ACTSC231 ASSIGNMENT 5.
DUE ON TUESDAY, JULY,12, BEFORE CLASS
Assignment:
(1) Page 294: 6.7.2, 6.7.4, 6.8.2, 6.8.4, 6.8.6, chapter 6 review 2, 4, 6
(2) A 30year bond has 9% annual coupons and a face value of $1,000. It is redeemed
at par. Coupons are rein
SOLUTION FOR ASSIGNMENT 5
(1)
Solution 0.1. (6.7.2) Let y be the new yield for each coupon period, so we have
(1 + y )1/2 cfw_30a7y + 1065(1 + y )7 = 995
one can solve above equation by solving the following equation:
(1 + 0.5y )cfw_30a7y + 1065(1 + y
ACTSC231 ASSIGNMENT 1.
DUE ON MAY 25, BEFORE CLASS
The problems are not in the order of diculties.
(1) Jane deposits 500 into an account at the beginning of each 4year period for 40
years. The account credits interest at an annual eective interest rate o
ACTSC231 ASSIGNMENT 4.
DUE ON TUESDAY, JUNE,29, BEFORE CLASS
problems in text book:
page 294
(1)
(2)
(3)
(4)
6.2.2, 6.2.4, 6.2.6
6.3.2,
6.4.2,
6.5.2, 6.5.4
1
Chapter 3. Annuities
Lecture Notes for ACTSC 231 Mathematics of Finance
Spring 2015 (Session 2)
Wenjun Zhu
[email protected]
Department of Statistics and Actuarial Science
University of Waterloo
Wenjun Zhu ([email protected])
Yield Rates
1 / 34
X
W
