SOA Exam FM Sample Question 152
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 modified approximation, is X.
Calculate X.
- A) −2.22%
- B) −2.47%
- C) −2.50%
- D) −2.62%
- E) −2.75%
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