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#1
06-04-2008, 11:07 AM
 alby321 Member Join Date: May 2008 Posts: 49
Alby's / Seattle Guys form

I am under the impression that there were a set of distinct forms as oppsoed to a random bank of questions. My first few questions were to calculate the difference in intrest between paying it all off after N years, and paying it off in level payments of x over n<N years. I think then I had Clam Diggers, where you had to caclualte the stategy for their best profit. I wanted to use this thread to narrow down the topics being discussed in the other threads, because so many of those dont relate to me.

There was the Modified duration of the P(i)= 100+500(1+i)^-3....

I was unable to do correctly the question where the fund has 100 at time 0, for the first two years it has intrest at an effective rate of 5%, then t>2 force of intrest 1/(1+t). Calculate the effecitve anuual discount rate over the 5 years. Were we supposed to exp(integral from 2 to 5 the force) and then multiply by the time at 2? Cause I couldnt get an answer when i integrated from 3 to 5?

Also the Bond one that you need to borrow an additional 2000\$ to buy the 10000\$ bond. Intrest on loan 8%covertible monthly, and cupons 9% covert monthly. Calculate effective intrest over ten years on 8000.

I was upset because I am pretty sure the Collar question had C) a written collar is a purchased put and written call, Which would have been the untrue statment, but i think i changed my answer to another one.
#2
06-04-2008, 11:17 AM
 jesusislord Member CAS Join Date: Aug 2006 Studying for none Posts: 1,256

The force of interest questions was hard but i finally got it. When you integrate from 3-5 you get (e^ln6-ln4). So {(1+i) ^ 2} * 2= (1-d)^-5.

Can someone help me figure out the Loan question previously mentioned in this thread. I kept getting 430 something which was not a choice.

I set it up as X(1+i)^20 - x= 1000 + 10P - P *(A subangle N); where P is the level payments and A sub angle N is X?

Also the increasing perpetuity question, 500, 510, 520 ... where i was 7.5% and payments were semi-annually.
I kept getting 21k
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Last edited by jesusislord; 06-04-2008 at 11:25 AM.. Reason: wrong
#3
06-04-2008, 11:22 AM
 jesusislord Member CAS Join Date: Aug 2006 Studying for none Posts: 1,256

I also had the real interest question; the clam diggers questions (picked no options, which should have been sell a call), had the least likely derivative questions (picked insurance swaping rates, an educated guess), had the cost of carry (choose 4%, guess), had the MD question (just took 1st derivative and got an answer), had 2 time/dollar weighted questions with simple interest method (guessed on those); had the binomial question with the put option (a pilot question possibly? got 30 something); had a question about the max loss on the put (got 500).
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#4
06-04-2008, 11:25 AM
 alby321 Member Join Date: May 2008 Posts: 49

the first half of your equation is right X(1+i)^20 - x, but i solved for the payment, P, and had the other side of the equation 10P-Principal
#5
06-04-2008, 11:27 AM
 jesusislord Member CAS Join Date: Aug 2006 Studying for none Posts: 1,256

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#6
06-04-2008, 11:29 AM
 alby321 Member Join Date: May 2008 Posts: 49

1 had a question about the max loss on the put (got 500) Agrred
2 had the MD question (just took 1st derivative and got an answer) Disagree, needs to be -dirivative/price
3 Cost of carry is r-d = -4%
4 LEast likely dirivative used for risk managment was the question I believe, and I put, the option that said something about S&P 500 on speculation it will increase. I dont think speculation is a risk managment technique, although it is a use for a derivative.
Put option, possibly pilot, answere was 37.5
#7
06-04-2008, 11:30 AM
 alby321 Member Join Date: May 2008 Posts: 49

Quote:
 Originally Posted by jesusislord what was the final answer?
Not sure the detail, like time? or intrest? sorry
#8
06-04-2008, 11:32 AM
 vjvj Note Contributor Join Date: Nov 2005 Location: IL Studying for MFE Posts: 3,425

Quote:
 Originally Posted by alby321 I am under the impression that there were a set of distinct forms as oppsoed to a random bank of questions.
The CBT webpage (http://www.beanactuary.org/exams/cbt.cfm) pretty much says that:

"Since the CBT exam will be offered over a period of a few days, multiple forms of the test are being created for use."
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#9
06-04-2008, 11:34 AM
 alby321 Member Join Date: May 2008 Posts: 49

There was a question to calculate book value of a 10 year semianual bond at the beginning of the 6th year, it was kinda tricky on the timing of payments but, i thought i got it.
#10
06-04-2008, 11:34 AM
 jesusislord Member CAS Join Date: Aug 2006 Studying for none Posts: 1,256

[quote=alby321;2920498]Not sure the detail, like time? or intrest? sorry[/Q

I think the interest was 5% and the time was 20 for the principal and interest lump sum payment and 10 for the level payments
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