IOA历年考试真题ct1.pdf

Faculty of Actuaries Institute of Actuaries EXAMINATION April 2005 Subject CT1 Financial Mathematics Core Technical EXAMINERS REPORT Introduction The attached subject report has been written by the Principal Examiner with the aim of helping candidates. The questions and comments are based around Core Reading as the interpretation of the syllabus to which the examiners are working. They have however given credit for any alternative approach or interpretation which they consider to be reasonable. M Flaherty Chairman of the Board of Examiners 15 June 2005 Faculty of Actuaries Institute of Actuaries Subject CT1 (Financial Mathematics Core Technical) April 2005 Examiners Rep ort 1 f S I Ke r T t where: t is the present time T is the time of maturity of the forward contract r is the continuously compounded risk-free rate of interest for the interval from t to T S is the spot price of the security at time t I is the present value, at the risk-free interest rate, of the income generated by the security during the interval from t to T K is the delivery price of the forward contract f is the value of a long position in the forward contract Here, working with £100 nominal, S = 95, K = 98, T t =1, r = 0.052 0.046 0.5 0.052 1 I 2.5 e e 4.81648 0.052 f 95 4.81648 98e