SOA Exam FM Sample Question 320
Study guide: Exam FM-2
An investor purchases two bonds having the same positive annual effective yield rate.
With respect to the annual effective yield rate, their modified durations are a years and b years, with 0 < a < b.
One of these two bonds has a Macaulay duration of d years, with a < d < b.
Determine which of the following is an expression for the Macaulay duration of the other bond, in years.
- A)
bd/a - B)
ad/b - C)
ab/d - D)
b+d-a - E)
a+d-b
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