SOA Exam FM Sample Question 354
Study guide: Exam FM-2
An investor purchases a portfolio consisting of three bonds. Bond A has annual coupons of 6% and matures for its face amount of 1000 in ten years. It is purchased for 1000. Bonds B and C are zero-coupon bonds, maturing for 1000 each in five and ten years, respectively. All three bonds have the same yield rate.
Calculate the Macaulay duration in years at the time of purchase of the portfolio with respect to the common yield rate.
- A) 7.23
- B) 7.43
- C) 7.60
- D) 8.33
- E) 8.38
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