FM for Actuaries

Index 351
RATE, 63, 70
XIRR, 109–111, 120
YIELD, 218–219
expectations hypothesis (constant
premium), 234–237
pure, 234–237
unbiased, 235
F
face value, 12–13, 27, 190–192, 194–199,
201–203, 208–209, 212, 214, 216, 218,
222–223, 225, 227–229, 237–240,
242–244, 249, 256–257, 259, 261–262,
265, 267, 270–271, 281, 284, 286, 289,
319
Federal Reserve System, 292, 296, 300
Federal Open Market Committee, 300
fiscal policy, 301–303
Fisher equation, 294
flat rate discount loan, 148, 165–166
flat rate loan, 148, 165, 172, 183
force of interest, 16–18, 24, 27–29, 34–37,
68, 86–87, 90, 141, 228–231, 239, 244,
287
frequency of compounding, 2, 5, 27, 293
interest payment, 5, 8, 91
future value, 1, 19, 22–26, 28–29, 31–32,
34–35, 39–45, 47–50, 52–54, 56–58,
60–61, 64, 66–67, 73–74, 80–85, 98,
100–101, 236, 292
G
geometric mean rate of return, 105–106,
116–118, 133, 135–136
guaranteed income fund, 305, 317–318,
325
H
holding yield
n-period, 222
one-period, 222
I
immunization, 245–246, 260, 263, 272,
277, 279, 287
Redington, 262–264, 267, 272, 279
full, 269–272, 279
target-date, 246, 260, 263, 279, 284
independent lognormal model, 306, 310,
314, 323
index fund, 277
indexing strategy, 277
inflation, 187, 189, 206–207, 294, 300,
303
rate of inflation, 293–294, 300–302
installments, 27–28, 34, 53, 66, 144, 148,
157, 159, 164, 166, 170, 176, 182, 190,
282
varying, 148, 159
interest rate scenarios, 213, 221, 305–308,
320–321
interest rate swaps
accreting swap, 91, 95–96, 102
amortizing swap, 91, 102
deferred swap, 95–96, 103
market value, 73, 96–97, 103, 259
net payments, 92, 103
notional amount, 91–92, 94,–95,
102–103, 244
settlement dates, 91, 102
settlement period, 91–92, 94, 102
swap rate, 73–74, 91–96, 102, 244,
297
swap term/tenor, 91, 96
intrinsic value, 286
investment–year method, 105–106, 125,
133
IRR rule, 127–129, 142–144
J
junk bond, 145, 189, 207
L
lending rate, 111, 130, 142–143
liquidity premium hypothesis, 213, 234,
237
London Interbank Offered Rate (LIBOR),
298