SOA Exam FM Sample Question 447
Study guide: Exam FM-2
A perpetuity-immediate with level annual payments of k has a Macaulay duration of 32.25 years based on an annual effective interest rate of i. At the same annual effective interest rate, a perpetuity-due with level annual payments of 1.02k has a modified duration of X years.
Calculate X.
- A) 30.28
- B) 30.89
- C) 31.25
- D) 31.88
- E) 32.22
Answer this question and see the worked solution