SOA Exam FM Sample Question 30
Study guide: Exam FM-2
The current price of an annual coupon bond is 100. The yield to maturity is an annual effective rate of 8%. The derivative of the price of the bond with respect to the yield to maturity is -700.
Using the bond's yield rate, calculate the Macaulay duration of the bond in years.
- A) 7.00
- B) 7.49
- C) 7.56
- D) 7.69
- E) 8.00
Answer this question and see the worked solution