Chapter 9 - Level 2 - Course FM Solutions

Transcription

1 Chaper 9 - Level 2 - Course FM Soluons ONLY CERTAIN PROBLEMS HAVE SOLUTIONS. THE REMAINING WILL BE ADDED OVER TIME.. (S08T3) Yvonne mus make a paymen of 80,000 a he end of one year. Addonally, she mus make a paymen of 40,000 a he end of wo years. Fnally, she mus make a paymen of 60,000 a he end of 3 years. She wans o purchase bonds o exacly mach her paymens. She can purchase he followng hree bonds: Bond Number Term of he Bond Annual Coupon Maury Value Year Years Years Calculae he amoun of Bond 2 whch Yvonne should purchase. a b c d e ,000 = 00a + 60b + 70c 40,000 = 60b + 70c 60,000 = 270c From he las equaon, c = 60,000/270 Then, b = , = Copyrgh 203

2 Chaper 9 - Level 2 - Course FM Soluons 2. (S2HW) Hopkns Lfe Insurance Company s payng Keh an annuy due of 234 per year for he nex years. Calculae he Modfed duraon of Keh s annuy a an annual effecve neres rae of %. a b c d e D (, ) C v 234(0) v 234() v (9) v 234a a 9v ( Ia ) a a Cv Modfed D(, ) v Copyrgh 203

3 Chaper 9 - Level 2 - Course FM Soluons 3. (S08T3) Kyle purchases a year bond. The bond maures for 300 and has annual coupons of 80. Calculae he Macaulay duraon of Kyle s bond a an neres rae of 8%. a b c d e D (, ) PVBond Cv 80() v 80(2) v... 80() v 300() v Cv Prce of Bond 2 N= I/Y=8% PMT=80 FV=300 PVCPT= ( Ia) 3000 D (, ) a v v v (FHW) James has a loan of,000 whch s o be repad wh level annual paymens a an annual effecve neres rae of 2%. Calculae he Macaulay duraon of he loan usng he 2% neres rae. a b c. 3.6 d e Cv v (2) v () v Cv a v Cv.2 Cv Cv Ia Copyrgh 203

4 Chaper 9 - Level 2 - Course FM Soluons 5. (FHW) The Macaulay Duraon of a perpeuy mmedae wh level annual paymens s 26. Deermne he neres rae ha was used o calculae he Macaulay Duraon. a b c d P( ) C 2 v PIa 26 C P( ) v P( ) Copyrgh 203

5 Chaper 9 - Level 2 - Course FM Soluons 6. (FHW) Sparks-Norrs Asse Parners (SNAP) manages he followng porfolo of bonds: D Bond Prce Macaulay Duraon 5,000 2, , ,000 2 The duraon s calculaed a an annual effecve neres rae of 7%. Calculae he modfed duraon of SNAP s porfolo. a b c d e. 6.5 PORT DP P where D s Modfed Duraon In order o ge Modfed Duraon from Macaulay we mulply Macauly by v. DP v v 000 8v v 5000 P (FMP07) Calculae he modfed duraon of an annuy due wh paymens of 0 for years usng an neres rae of 8%. a b c. 4.7 d. 4.5 e Copyrgh 203

6 Chaper 9 - Level 2 - Course FM Soluons 8. (FMP07) Megan buys he followng bonds:.bond A wh a modfed duraon of 7 for 00;.Bond B wh a modfed duraon of 5 for 2000; and.bond C wh a modfed duraon of for 500. Calculae he modfed duraon of he porfolo. a. 6.3 b. 7.0 c. 7.3 d. 8.3 e (FMP07) John wans o absoluely mach a deb ha he owes under whch he mus make paymen of 00 n one year and 2000 n wo years. He can purchase he followng bonds:.bond A s a wo year bond wh annual coupons of 0 and a maury value of 00..Bond B maures n one year for 00 and pays a coupon of 80. Calculae he amoun of Bond B ha John should purchase. a. 758 b. 909 c. 926 d. 00 e. 88 Copyrgh 203

7 Chaper 9 - Level 2 - Course FM Soluons. (S07PQ) Calculae he modfed duraon of an annuy due wh paymens of 0 for years usng an neres rae of 8%. a b c. 4.7 d. 4.5 e C ( ) v Cv.08 (.08)(.08) (S07PQ) Megan buys he followng bonds:.bond A wh a Macaulay duraon of 7 for 00;.Bond B wh a Macaulay duraon of 5 for 2000; and.bond C wh a Macaulay duraon of for 500. Calculae he Macaulay duraon of he porfolo. a. 6.3 b. 7.0 c. 7.3 d. 8.3 e. 8.8 DP 7(00) 5(2000) (500) P Copyrgh 203

8 Chaper 9 - Level 2 - Course FM Soluons 2. (S2PQ) A perpeuy mmedae has a Macaulay duraon of 3.5 a an annual effecve neres rae of. Calculae % 3. (S2PQ) A perpeuy due has a modfed duraon of 8 a an annual effecve neres rae of. Calculae % 4. (S07PQ) John wans o absoluely mach a deb ha he owes under whch he mus make paymen of 00 n one year and 2000 n wo years. He can purchase he followng bonds:. Bond A s a wo year bond wh annual coupons of 0 and a maury value of 00.. Bond B maures n one year for 00 and pays a coupon of 80. Calculae he amoun of Bond B ha John should purchase. a b c d..000 e..88 A (0) = 2000 A = (0) + B (80) = B (80) = 00 B (80) = B = Copyrgh 203