SOA Exam FM Sample Question 423
Study guide: Exam FM-2
Bond A pays 1 at the end of each year in perpetuity. Bond B is a zero coupon bond that matures in ten years. The Macaulay duration of bond A is twice that of bond B.
Calculate the modified duration of bond A.
- A) 19.0
- B) 19.5
- C) 20.0
- D) 21.0
- E)
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Answer this question and see the worked solution