SOA Exam FM Sample Question 223
Study guide: Exam FM-2
Determine which of the following expressions represents the modified duration for a zero-coupon bond that is currently priced at an annual effective yield rate i and an n-year maturity.
- A)
n - B)
n(1+i) - C)
n(1+i)^{-1} - D)
\dfrac{\sum_{t=1}^n t(1+i)^{-t}}{\sum_{t=1}^n (1+i)^t} - E)
\dfrac{\sum_{t=1}^n t(1+i)^{-t}}{\sum_{t=1}^n (1+i)^{-t}}
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