FM for Actuaries

Index
A
accrued interest, 187, 198–200, 202, 206,
208, 210
accumulation function, 2–4, 8, 11, 14–17,
21–22, 24, 27, 30, 36, 49, 56, 64, 73,
84–87, 98, 101, 215, 220, 240, 292
affine models, 317
amortization, 147–148, 152–157,
159–161, 170, 173–174, 176–178, 184,
187–188, 193–197, 203, 206–211, 238
amount function, 2–3, 27, 33
amount of interest, 2, 6–7, 9, 28, 30, 34,
65, 67, 90–91, 141, 143, 159, 180,
184–185, 195
annual percentage rate (APR), 148, 169,
171–172
annuity, 39, 40-49, 51–61, 63–67, 69, 73,
80–85, 88, 99–101, 148–159, 161, 166,
169, 191, 257, 282–283, 292, 315, 320
decreasing, 58, 283
deferred, 40, 45–46, 54, 56–57, 64,
66, 84, 88
due, 40, 44–45, 51, 55, 57–58, 63–66,
82–84, 169
immediate, 53
in arrears, 40
increasing, 57–58, 60, 158
level, 58, 60, 257, 280, 282
ordinary, 40
perpetuity, 45–46, 65–66, 69
term of, 60
varying, 40, 56–57
autoregressive model, 305, 314, 320
B
bond, 39, 56, 116–119, 122–123, 136,
139, 145, 187–231, 233–267, 269–273,
275, 281–290, 292, 294–295, 297–298,
320–321
callable, 187–189, 202–204, 206,
210–211, 213, 216–217, 223,
238–239, 241, 273, 281, 285–287
coupon-paying, 188–189, 191
inflation-indexed, 187, 294
investment-grade, 189, 209, 237, 287
junk, 145, 189, 207
zero-coupon, 187, 189, 193,
207–208, 228, 230–231, 233–234,
239, 240, 242–244, 256, 259, 263,
265, 267, 270–272, 286–289, 320
bond amortization schedule, 187–188,
193, 195–197, 203, 206–211, 238
bond discount, 194–196
bond premium, 194–195
effective interest method, 194
straight-line method, 194, 211
bond management, 213, 221, 236, 245,
247, 249, 251, 253, 255, 257, 277–278
active, 221, 236, 277–278
passive, 245, 277
bond price, 191, 193, 197, 199, 201, 207,
212, 215, 225, 229, 233, 236–237, 245,
250, 252–255, 260–262, 273, 278, 287
clean price, 198, 214, 218–219
dirty price, 198, 209–210, 214, 216,
238
349