SOA Exam FM Sample Question 146
Study guide: Exam FM-2
A 20-year bond priced to have an annual effective yield of 10% has a Macaulay duration of 11. Immediately after the bond is priced, the market yield rate increases by 0.25%. The bond's approximate percentage price change, using a first-order Macaulay approximation, is X.
Calculate X.
- A)
-2.22\% - B)
-2.47\% - C)
-2.50\% - D)
-2.62\% - E)
-2.75\%
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