SOA Exam FM Sample Question 346
Study guide: Exam FM-2
A liability consists of a payment of 2000 to be paid six months from now and a payment of 1500 to be paid one year from now.
The only investments available are:
i) Six-month zero-coupon bonds with an annual nominal yield rate of 3.5% convertible semiannually, and ii) One-year par value bonds with an annual coupon rate of 6% payable semiannually and an annual nominal yield rate of 4.2% convertible semiannually.
Calculate the total cost of a portfolio that exactly matches the liability cash flows.
- A) 3393
- B) 3404
- C) 3418
- D) 3447
- E) 3463
Answer this question and see the worked solution