ACTSC 231 (Mathematics of Finance) Spring 2015
Midterm Review Problem Set (2)
1. An annuity-immediate has 20 annual payments. The odd numbered payments are
$100 and the even payments are $200. Find the present value of this annuity, under
the following ra
Question 1: Score 1/1
The first payment of a perpetuity is in 5 months time and is$1,000. Each
subsequent monthly payment increases by 5. At an interest rate of 6%
compounded monthly calculate the present value of this perpetuity. (answer
to the nearest d
Question 1: Score 0/1
Given a force of interest of 3%, what is the equivalent rate of interest
compounded compounded every one and a half years?
Your Answer: 0.0698
Correct Answer: .1894
Comment:
e0.03(1.5) = (1+i(0.666667)/0.666667)0.666667(1.5) =>i(0.66
Question 1: Score 1/1
Given a 8% rate of interest compounded continuously, what is the equivalent
nominal rate of interest compounded daily?
Your Answer: 0.08
Comment:
365(e0.08/365-1)=0.08
Question 2: Score 1/1
Find the value at time 2 of 4,200 to be pai
Question 1: Score 1/1
Esteban borrows $17,805, and the loan is governed by compound
interest at an annual effective interest rate of 4%. Esteban agrees to
repay the loan by making a payment of $9,000 at the end of T years and
a payment of $12,000 at the e
Question 1: Score 0/1
A loan is being repaid with quarterly installments of $900 at the end of each
period for five years at 10% convertible quarterly. Calculate the amount of
principal in the sixth installment. (Two decimal places)
Your Answer:
720.66
Co
Question 1: Score 1/1
A perpetuity paying 1 at the beginning of each year has a present value of 60.
If this perpetuity is exchanged for another perpetuity paying R at the
beginning of every 3 years, find R to the two decimal places so that the
values of
Question 1: Score 0/1
Teresa took out a loan of $11,000, to be paid back by the sinking fund
method. The term of the loan is ten years, and the interest is to be repaid
annually at an annual effective interest rate of 7%. The sinking fund
account earns 3.
Question 1: Score 0/1
Big Bank offers its customers checking accounts with overdraft protection.
The bank pays simple interest on positive balances at a rate of 4% and
charges simple interest on negative balances at a rate of 19%. The interest is
calculat
Question 1: Score 1/1
Your response
Mohammed had $22,000 in his investment account on January 1, 2002. On January 1, 2003 he
deposited $8,000 after which his balance was $31,540 . On January 1, 2004 Mohammed account
had a balance of $33,968.47 . Calculate
Question 1: Score 0/1
Your response
Correct response
Angela pays $ 900
for a $1000, 8
-year
9.75 % bond with semiannual coupons.
Angela reinvests each coupon in her saving
account, which earns an annual effective rate of
th
interest of 1.5 %. After reciev
Question 1: Score 0/1
Two $1,400 bonds redeemable at par at the end of the same period are
bought to yield 5% convertible semiannually. One bond costs $2,278.6
and has a coupon rate of 10% payable semiannually. The other bond has
a coupon rate of 5% payab
Question 1: Score 1/1
A used cars sells for $7,477.03 cash or $1,000 and $1,100 per month for
6 months. Calculate the annual nominal rate of interest compounded
monthly on this financing plan.
Your Answer: 6.48
Question 2: Score 0/1
A loan of $20,000 is b
Universimf University of Waterloo
waterloo Final Examination
Term: Winter Year: 2009
First (Given) Name: Last (Family) Name:
Student ID #: userid:
lCourse Abbreviation and Number: ACTSC 231
Course Title: Mathematics of Finance
Section(s):
Describing Systems
Review Systems
Review Information Systems
Review Process and Format for Information
System Description
Task Describe an Election Voting Information
System (using the IS Description Framework)
BIS100
What are IS and TI?
1
ELection Vo
Describing Systems
Review Systems
Review Information Systems
Review Process and Format for Information
System Description
Task Describe an Election Voting Information
System (using the IS Description Framework)
BIS100
What are IS and TI?
1
ELection Vo
Step 1 Perform Value Chain Analysis
Analyse the environment and business to see where in the value chain the most return on
investment (ROI) can be gained by CBV with IT.
Two complementary techniques can be used:
I.
Analyse Competitive Forces Consider com
ACTSC 371 Fall 2014
Assignment 3
Due Date: 1pm, Monday, November 3, 2014 (dropbox)
1. A 10-year bond of a firm in severe financial distress has a coupon rate of 14% (coupons
are paid annually) and sells for $900. The firm is currently renegotiating the de
A
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
B
C
Year
Inputs
beta
mkt_prem
rf
k_equity
plowback
roe
term_gwth
D
0.95
0.08
0.02
0.0960
0.75
0.1
0.075
Value line
forecasts of
annual dividends
Transitional period
with slowing dividend
growth
Begin
Table 14.3
A
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
B
C
1
2
3
4
Time until
Payment
(Years)
0.5
1.0
1.5
2.0
1
2
3
4
0.5
1.0
1.5
2.0
Period
A. 8% coupon bond
D
E
Cash flow
40
40
40
1040
Sum:
B. Zero-coupon bond
Sum:
Semiannual int rate:
0
0
0
1000
F
P
Holding Period Immunization Example:
Yield to Maturity
Coupon Rate
Years to Maturity
Par Value
Holding Period
Duration
Market Price
11.580%
14.000%
7.0
$1,000.00
5.0
5.000251
$1,111.929
If YTM increases 200 basis points:
Yield to Maturity
13.580%
Future V
A
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
B
C
D
E
Semiannual
Coupons
Settlement date
Maturity date
Annual coupon rate
Bond price
Redemption value (% of face value)
Coupon payments per year
Yield to maturity (decimal)
F
G
H
I
J
Annual coupons
7/31/2012
7
Ken Seng Tan
ACTSC 371
Fall 2015
Chapter Summary
Objective: To describe the workings of futures
markets and the mechanics of trading in these
markets.
20.1 THE FUTURES CONTRACT
20.2 MECHANICS OF TRADING IN FUTURES MARKETS
20.3 FUTURES MARKETS STRATEGI
CHAPTER 18
OPTIONS AND OTHER DERIVATIVES MARKETS:
INTRODUCTION
1. We assume in all cases that the option position is established by buying at the ask
prices.
a. Option price = $3.95; payoff = 14 11 = 3; profit = 3 3.95 = 0.95
b. Option price = $0.52; payo