SOA Exam FM Sample Question 184
Study guide: Exam FM-2
A company has liabilities of 402.11 due at the end of each of the next three years.
The company will match the duration of its liabilities by investing a total of 1000 in one-year and three-year zero-coupon bonds. The annual effective yield of both bonds is 10%.
Calculate the amount the company will invest in one-year bonds.
- A) 366
- B) 402
- C) 442
- D) 500
- E) 532
Answer this question and see the worked solution
Concepts tested
- Immunization
- Duration
- Bonds
- Portfolio
- Asset-Liability Portfolio
- Duration Matching
- Redington Immunization