SOA Exam FM Sample Question 51
Study guide: Exam FM-2
Krishna buys an n-year 1000 bond at par. The Macaulay duration is 7.959 years using an annual effective interest rate of 7.2%.
Calculate the estimated price of the bond, using the first-order modified approximation, if the interest rate rises to 8.0%.
- A) 940.60
- B) 942.88
- C) 944.56
- D) 947.03
- E) 948.47
Answer this question and see the worked solution