SOA Exam FM Sample Question 353
Study guide: Exam FM-2
A bond is priced at 950, giving an annual effective yield to maturity of 9%. At 9%, the derivative of the price of the bond with respect to the yield rate is -4750.
Calculate the Macaulay duration of the bond in years.
- A) 4.59
- B) 4.62
- C) 5.00
- D) 5.41
- E) 5.45
Answer this question and see the worked solution