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 Financial Mathematics Old FM Forum

#11
10-28-2006, 11:38 PM
 Buzz Lightyear Notes Contributor CAS Join Date: Aug 2006 Favorite beer: Excuse me, I think the word you're searching for is "alcoholic malt beverage". Posts: 337

Quote:
 Originally Posted by hokensuri Have you tried the question below using the formula shown above? http://www.math.ilstu.edu/krzysio/KO-FM-Exercise4.pdf
It is an interesting example, but seems to be asking a little more than FM seeks, and is looking for one to notice that the 8% is effective, not nominal, as the wording would normally associate in the FM type questions from past papers.

It is a Course 6 question also.

But I will take my chances, and double check with the longer method also if there is a convexity calc.
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#12
10-29-2006, 12:23 AM
 hokensuri Member Join Date: May 2006 Posts: 106

Quote:
Originally Posted by Buzz Lightyear
Quote:
 Originally Posted by hokensuri Have you tried the question below using the formula shown above? http://www.math.ilstu.edu/krzysio/KO-FM-Exercise4.pdf
It is an interesting example, but seems to be asking a little more than FM seeks, and is looking for one to notice that the 8% is effective, not nominal, as the wording would normally associate in the FM type questions from past papers.

It is a Course 6 question also.

But I will take my chances, and double check with the longer method also if there is a convexity calc.
Yep. It is an old Course 6 problem, but Krzysio posted this in his weekly questions site for FM. So it is worth trying.

I tried this problem a few days ago using the formula above (with my fancy BAII Plus Pro). I did not get the correct answer by SOA. In fact I just tried again a few minutes ago. And it did not work again.

Here are the #s I used for the BAI Plus:
t = 1,2,3,4,5,6
CF = 3,3,3,3,3,103
t*CF = 3,6,9,12,15,618
t^2*CF = 3,12,27,48,75,3708

i (effective rate per coupon period) = 3.92304845

Bond Price = 95.14910832
Sigma tCF(t)v^t = 529.7120714
MacD = 2.78358
Sigma t^2CF(t)v^t = 3,084.609437
MacC = 8.1046
r = 8%

Convexity=9.335.

This is not the SOA's answer, but it is close to one of the possible answers Krzysio showed. In fact, the only difference is the rate I used in the last step.

Last edited by hokensuri; 10-29-2006 at 12:36 AM..
#13
11-10-2006, 01:30 AM
 GuineaPig Member Join Date: Sep 2006 Studying for ever Posts: 20,043

Does anyone know a good way to save no driver's post? For some reason in wordpad the gifs won't copy unless you do them 1 at a time...
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Quote:
 Originally Posted by Guerilla poster Rickson is right

Last edited by GuineaPig; 11-10-2006 at 01:39 AM..
#14
11-10-2006, 01:44 AM
 GuineaPig Member Join Date: Sep 2006 Studying for ever Posts: 20,043

nevermind I just printed out a hard copy. Thanks no driver mykenk and buzz.
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Quote:
 Originally Posted by Guerilla poster Rickson is right
#15
11-10-2006, 08:56 AM
 MyKenk Note Contributor CAS AAA Join Date: Nov 2005 Posts: 8,596

I was going to say, you could print to a PDF or an MDI file.
#16
11-10-2006, 02:55 PM
 no driver Note Contributor SOA Join Date: Jan 2006 Studying for nothing! Posts: 2,351

Quote:
 Originally Posted by esmith Does anyone know a good way to save no driver's post? For some reason in wordpad the gifs won't copy unless you do them 1 at a time...
Quote:
 Originally Posted by mykenk I was going to say, you could print to a PDF or an MDI file.
I had originally planned to put it up as a PDF file but the mimetex .gifs looked like crap. Unfortunately they don't look that great printed out from my post either but I guess it's better than nothing. I'll play around with a LaTeX distribution and see if I can get a decent looking document created...
#17
11-12-2006, 08:09 AM
 no driver Note Contributor SOA Join Date: Jan 2006 Studying for nothing! Posts: 2,351

Quote:
Originally Posted by no driver
Quote:
 Originally Posted by mykenk I was going to say, you could print to a PDF or an MDI file.
I had originally planned to put it up as a PDF file but the mimetex .gifs looked like crap. Unfortunately they don't look that great printed out from my post either but I guess it's better than nothing. I'll play around with a LaTeX distribution and see if I can get a decent looking document created...
You can now find a PDF that prints well at the bottom of my original post:
http://www.actuarialoutpost.com/actu...80&postcount=4

Unless someone shows me how to make a proper annuity symbol angle in LaTeX or points out a serious error this will probably be the last revision. Enjoy!
#18
11-13-2006, 01:14 PM
 vjvj Note Contributor Non-Actuary Join Date: Nov 2005 Location: IL Studying for MFE Posts: 7,597

I wasn't able to distill FM into 5 equations, as mykenk did. I ended up making a little quiz sheet that I went over every few days after I got tired of studying. Now that the test is over, I put it into Word (using MS Equation). I'm attaching the version without answers here. I'll post the version with answers next.
Attached Files
 FM quiz.doc (112.0 KB, 4777 views)
#19
11-13-2006, 01:15 PM
 vjvj Note Contributor Non-Actuary Join Date: Nov 2005 Location: IL Studying for MFE Posts: 7,597

And here is the version with the answers
Attached Files
 FM quiz answers.doc (123.0 KB, 3963 views)
#20
11-13-2006, 03:27 PM
 GuineaPig Member Join Date: Sep 2006 Studying for ever Posts: 20,043

thanks vjvj thats a nifty little quiz. *you really are obligated to use the word "nifty" whenever possible.
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Quote:
 Originally Posted by Guerilla poster Rickson is right