SOA Exam FM Sample Question 382
Study guide: Exam FM-2
A company would to be protected from large interest rate changes. It has a liability of 5000 due at time 3, and three possible sets of asset cash flows:
- I.
A_1 = 1511.72,A_4 = 3500.00 - II.
A_2 = 3481.00,A_4 = 1412.20 - III.
A_1 = 2580.95,A_4 = 2625.00
where A_t is the asset cash flow at time t.
The effective interest rate is 5% per time period.
Determine which set(s) of asset cash flows fully immunize the liability.
- A) I only
- B) II only
- C) III only
- D) I, II, and III
- E) The correct answer is not given by (A), (B), (C), or (D).
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