SOA Exam FM Sample Question 53
Study guide: Exam FM-2
Sam buys an eight-year, 5000 par bond with an annual coupon rate of 5%, paid annually. The bond sells for 5000. Let d_1 be the Macaulay duration just before the first coupon is paid. Let d_2 be the Macaulay duration just after the first coupon is paid.
Calculate \dfrac{d_1}{d_2}.
- A) 0.91
- B) 0.93
- C) 0.95
- D) 0.97
- E) 1.00
Answer this question and see the worked solution