SOA Exam FM Sample Question 350
Study guide: Exam FM-2
A portfolio consists of two bonds. Bond A is a three-year 1000 face amount bond with an annual coupon rate of 6% paid annually. Bond B is a one-year zero-coupon bond. Both bonds yield an annual effective rate of 4%.
Calculate the percentage of the portfolio to invest in Bond A to obtain a Macaulay duration of two years.
- A) 44.5%
- B) 45.6%
- C) 50.0%
- D) 54.4%
- E) 55.5%
Answer this question and see the worked solution