SOA Exam FM Sample Question 376
Study guide: Exam FM-2
The modified duration of a ten-year zero-coupon bond with an annual effective yield rate of i is 9.26 years.
Based on an annual effective interest rate of i, the Macaulay duration of a ten-year annuity-immediate with level annual payments is D.
Calculate D.
- A) 4.05
- B) 4.37
- C) 4.51
- D) 4.87
- E) 4.96
Answer this question and see the worked solution