SOA Exam FM Sample Question 227
Study guide: Exam FM-2
An investor purchases a 1200 face amount zero-coupon bond for a price of 1000. With respect to the bond's annual effective yield rate, the Macaulay duration is four years and the modified duration is d years.
Calculate d.
- A) 3.33
- B) 3.82
- C) 3.86
- D) 4.00
- E) 4.19
Answer this question and see the worked solution