SOA Exam FM Sample Question 219
Study guide: Exam FM-2
A firm has a liability cash flow of 100 at the end of year two and a second liability cash flow of 200 at the end of year three.
The firm also has asset cash flows of X at the end of years one and five.
Using an annual effective interest rate of 10%, calculate the absolute value of the difference between the Macaulay durations of the asset and liability cash flows.
- A) 0.018
- B) 0.020
- C) 0.022
- D) 0.024
- E) 0.026
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