SOA Exam FM Sample Question 383
Study guide: Exam FM-2
A company's liabilities are 20,000 today and 100,000 five years from today. The Macaulay duration of the company's liabilities with respect to the market annual effective yield rate is 3.70 years.
Calculate the modified duration of the company's liabilities, in years.
- A) 3.26
- B) 3.31
- C) 3.52
- D) 3.65
- E) 4.14
Answer this question and see the worked solution