SOA Exam FM Sample Question 260
Study guide: Exam FM-2
The table below defines available zero-coupon bonds and their prices:
| Years to Maturity | Bond Price Per Bond | Redemption Value Per Bond |
|---|---|---|
| 1 | 961.54 | 1,000 |
| 2 | 966.14 | 1,050 |
| 3 | 878.41 | 1,000 |
A company chooses to purchase 15 one-year zero-coupon bonds; 20 two-year zero-coupon bonds; and 30 three-year zero-coupon bonds.
Calculate the Macaulay duration of this portfolio.
- A) 1.97
- B) 2.11
- C) 2.16
- D) 2.20
- E) 2.23
Answer this question and see the worked solution