SOA Exam FM Sample Question 375
Study guide: Exam FM-2
Two bonds have the same annual effective yield rate, r, where r > 0. The bonds have Macaulay duration of 5 years and 6 years with respect to r. One of the bonds has modified duration of 5.76 years while the other bond has modified duration of d years.
Calculate d.
- A) 4.760
- B) 4.800
- C) 5.208
- D) 5.240
- E) 6.912
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