- Class Number 4237
- Term Code 3230
- Class Info
- Unit Value 6 units
- Mode of Delivery In Person
- Jacie Liu
- Jacie Liu
- Class Dates
- Class Start Date 21/02/2022
- Class End Date 27/05/2022
- Census Date 31/03/2022
- Last Date to Enrol 28/02/2022
This course provides an introduction to the valuation of cash flows. Topics include: compound interest functions; valuation of annuities certain; loans repayable by instalments; comparison of value and yield of cash flow transactions; valuation of fixed interest securities, with and without tax on interest and capital gains; duration and volatility of securities; introduction to concept of immunisation and matching; consumer credit contracts.
Upon successful completion, students will have the knowledge and skills to:
- Define and describe the use of cash flow models, simple and compound rates of interest and discount as well as compare and distinguish between nominal and effective rates of interest and discount;
- Describe various types of annuities and perpetuities and use them to solve financial transaction problems;
- Describe equations of value and various tools like linear interpolation & annuity tables;
- Compare capital budgeting decision tools like Net Present Values, Internal Rates of Return and Discounted Payback Periods;
- Analyse basic fixed interest financial transactions like Loan Valuation, Fixed Interest securities (eg. Bonds) and employ the skills developed in this course to evaluate such transactions. Incorporate the effects of taxation on such financial transactions;
- Understand and employ the term structure of interest rates to calculate forward and spot rates; and
- Define interest rate risk in terms of duration and convexity of fixed interest products, using this to define immunisation and assess its use in mitigating interest rate risk.
This course covers the relevant parts of the professional Actuaries Institute syllabus, for the subject of CM1: Actuarial Mathematics Core Principles. Wherever possible the examples used in this course will reflect real world situations to emphasize the use of the techniques covered.
Examination Material or equipment
Further information on examination material will be provided to students in lecture time and on Wattle. The final assessment will be held in the examination period with details to be advised no later than teaching week 10 of the semester.
All course notes and materials will be provided via Wattle. You will need access to a calculator to complete exercises required for this course. You will need access to a computer to get the materials necessary for the course. We will use MS Excel in this course. Some classwork and tutorial questions and solutions will be illustrated using MS Excel. Learning guides and short video lectures will be made available on wattle for students to learn the application of the concepts taught in this course. Some assignment questions will require the use of MS Excel or a spreadsheet program.
There are no prescribed textbooks for this course.
Students will be given feedback in the following forms in this course:
- Following each assignment, feedback will be given to the whole class about the general performance on each assignment.
- Students will also have the opportunity to speak with the tutors and the lecturer about their individual performance in the assignments.
ANU is committed to the demonstration of educational excellence and regularly seeks feedback from students. Students are encouraged to offer feedback directly to their Course Convener or through their College and Course representatives (if applicable). The feedback given in these surveys is anonymous and provides the Colleges, University Education Committee and Academic Board with opportunities to recognise excellent teaching, and opportunities for improvement. The Surveys and Evaluation website provides more information on student surveys at ANU and reports on the feedback provided on ANU courses.
Any student identified, either during the current semester or in retrospect, as having used ghost writing services will be investigated under the University’s Academic Misconduct Rule.
Your final mark for the course will be based on the raw marks allocated for each of your assessment items. However, your final mark may not be the same number as produced by that formula, as marks may be scaled. Any scaling applied will preserve the rank order of raw marks (i.e. if your raw mark exceeds that of another student, then your scaled mark will exceed the scaled mark of that student) and may be either up or down.
Please see the links on the Wattle site, under the file named “ANU and College Policies, Program Information, Student Support Services and Assessment”. For a more interactive guide on what this is all about, please see http://library.acadiau.ca/tutorials/plagiarism/.
Support for Students
The University offers a number of support services for students. Information on these is available online from http://students.anu.edu.au/studentlife/
Exemption from Actuarial Professional examination
This course along with Life Contingencies (STAT3037) makes up for the CM1 examination of the Actuaries Institute. More details regarding the grades required for exemption and the procedure to follow is detailed on this webpage: Actuaries Institute requirements.
|Week/Session||Summary of Activities||Assessment|
|1||Cash-flow models. Simple and compound interest. Accumulated and present values.|
|2||Nominal and effective rates of interest and discount. Force of interest.|
|3||Introduction to annuities and their valuation.|
|4||Perpetuities. Continuous, increasing, decreasing and indexed annuities.||Assignment 1 Due|
|5||Equations of value. Introduction to linear interpolation and annuity tables. Dealing with inflation.|
|6||Loan valuation and payments. Capital budgeting including NPV, IRR and DPP.|
|7||Measuring investment performance. TWRR and MWRR.|
|8||Valuation of fixed interest securities, with and without tax on interest and capital gains.|
|9||Calculating yields. Allowing for callable features and inflation. Extending to property and share valuation.|
|10||Yield curve and term structure of interest rates. Calculating forward and spot rates.||Assignment 2 Due|
|11||Interest rate risk: duration, effective duration and convexity. Conditions for and determination of immunisation.|
Tutorials will be available on campus, live through scheduled Zoom sessions and as pre-recorded videos. Information regarding enrolments for these options will be provided on Wattle during O-Week of the semester.
|Assessment task||Value||Due Date||Return of assessment||Learning Outcomes|
|Assignment 1||10 %||15/03/2022||29/03/2022||1|
|Assignment 2||15 %||13/05/2022||24/05/2022||1-5|
|Final Exam||75 %||02/06/2022||30/06/2022||1-7|
* If the Due Date and Return of Assessment date are blank, see the Assessment Tab for specific Assessment Task details
ANU has educational policies, procedures and guidelines, which are designed to ensure that staff and students are aware of the University’s academic standards, and implement them. Students are expected to have read the Academic Misconduct Rule before the commencement of their course. Other key policies and guidelines include:
The ANU is using Turnitin to enhance student citation and referencing techniques, and to assess assignment submissions as a component of the University's approach to managing Academic Integrity. For additional information regarding Turnitin please visit the Academic Integrity . In rare cases where online submission using Turnitin software is not technically possible; or where not using Turnitin software has been justified by the Course Convener and approved by the Associate Dean (Education) on the basis of the teaching model being employed; students shall submit assessment online via ‘Wattle’ outside of Turnitin, or failing that in hard copy, or through a combination of submission methods as approved by the Associate Dean (Education). The submission method is detailed below.
Moderation of Assessment
Marks that are allocated during Semester are to be considered provisional until formalised by the College examiners meeting at the end of each Semester. If appropriate, some moderation of marks might be applied prior to final results being released.
All lectures will be pre-recorded or in the form of Zoom sessions. Weekly workshops will be conducted on campus (recorded and available via echo360 on Wattle). Tutorials will be available on campus, live through scheduled Zoom sessions and as pre-recorded videos. Information regarding enrolments for these options will be provided on Wattle during O-week prior to the start of the semester. Arrangements for consultations will be advised in week 1 if there are any changes.
Centrally scheduled examinations through Examinations, Graduations & Prizes will be timetabled prior to the examination period. Please check ANU Timetabling for further information.
Assessment Task 1
Learning Outcomes: 1
The details of Assignment 1 including the topic, and the word limit and other requirements, will be made available on Tuesday 8 March.
Due date: Tuesday 15th March 20:00 (Week 4)
Assessment Task 2
Learning Outcomes: 1-5
The details of Assignment 2 including the topic, and the word limit and other requirements, will be made available on Tuesday 3 May.
Due date: Friday 13 May 20:00 (Week 10)
Assessment Task 3
Learning Outcomes: 1-7
The final exam will be held during the exam period with details to be advised no later than week 10 of the semester.
Date: Specific date to be advised.
Academic integrity is a core part of the ANU culture as a community of scholars. At its heart, academic integrity is about behaving ethically, committing to honest and responsible scholarly practice and upholding these values with respect and fairness.
The ANU commits to assisting all members of our community to understand how to engage in academic work in ways that are consistent with, and actively support academic integrity. The ANU expects staff and students to be familiar with the academic integrity principle and Academic Misconduct Rule, uphold high standards of academic integrity and act ethically and honestly, to ensure the quality and value of the qualification that you will graduate with.
The Academic Misconduct Rule is in place to promote academic integrity and manage academic misconduct. Very minor breaches of the academic integrity principle may result in a reduction of marks of up to 10% of the total marks available for the assessment. The ANU offers a number of online and in person services to assist students with their assignments, examinations, and other learning activities. Visit the Academic Skills website for more information about academic integrity, your responsibilities and for assistance with your assignments, writing skills and study.
The assignment is to be submitted online on Wattle at the pre-specified location via Turnitin. You must attach an assignment cover sheet. Please keep a copy of tasks completed for your records. Unless an exemption has been approved by the Associate Dean (Education) submission must be through Turnitin.
There are no hardcopy submission for this course.
No submission of assessment tasks without an extension after the due date will be permitted. If an assessment task is not submitted by the due date, a mark of 0 will be awarded.
Accepted academic practice for referencing sources that you use in presentations can be found via the links on the Wattle site, under the file named “ANU and College Policies, Program Information, Student Support Services and Assessment”. Alternatively, you can seek help through the Students Learning Development website.
Assignments will be returned via Wattle.
Extensions and Penalties
Extensions and late submission of assessment pieces are covered by the Student Assessment (Coursework) Policy and Procedure. Extensions may be granted for assessment pieces that are not examinations or take-home examinations. If you need an extension, you must request an extension in writing on or before the due date. If you have documented and appropriate medical evidence that demonstrates you were not able to request an extension on or before the due date, you may be able to request it after the due date.
Resubmission of Assignments
Students will not be permitted to resubmit assignments.
Distribution of grades policy
Academic Quality Assurance Committee monitors the performance of students, including attrition, further study and employment rates and grade distribution, and College reports on quality assurance processes for assessment activities, including alignment with national and international disciplinary and interdisciplinary standards, as well as qualification type learning outcomes.
Since first semester 1994, ANU uses a grading scale for all courses. This grading scale is used by all academic areas of the University.
Support for students
The University offers students support through several different services. You may contact the services listed below directly or seek advice from your Course Convener, Student Administrators, or your College and Course representatives (if applicable).
- ANU Health, safety & wellbeing for medical services, counselling, mental health and spiritual support
- ANU Diversity and inclusion for students with a disability or ongoing or chronic illness
- ANU Dean of Students for confidential, impartial advice and help to resolve problems between students and the academic or administrative areas of the University
- ANU Academic Skills and Learning Centre supports you make your own decisions about how you learn and manage your workload.
- ANU Counselling Centre promotes, supports and enhances mental health and wellbeing within the University student community.
- ANUSA supports and represents undergraduate and ANU College students
- PARSA supports and represents postgraduate and research students
Actuarial studies, mortality modelling, Bayesian modelling, GLM, Copula, panel data analysis