exercise:67dbbecf0b: Difference between revisions
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(Created page with "The one-year forward rates, deferred t years, are estimated to be: {| class="table table-bordered" | Year (t) || 0 || 1 || 2 || 3 || 4 |- | Forward Rate || 4% || 6% || 8% || 10% || 12% |} Calculate the spot rate for a zero-coupon bond maturing three years from now. <ul class="mw-excansopts"><li>4%</li><li>5%</li><li>6%</li><li>7%</li><li>8%</li></ul> {{soacopyright | 2023 }}") |
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Annuity A pays 1 at the beginning of each year for three years. Annuity B pays 1 at the beginning of each year for four years. | |||
The Macaulay duration of Annuity A at the time of purchase is 0.93. Both annuities offer the same yield rate. | |||
Calculate the Macaulay duration of Annuity B at the time of purchase. | |||
<ul class="mw-excansopts"><li>1.240</li><li>1.369</li><li>1.500</li><li>1.930</li><li>1.965</li></ul> | |||
<ul class="mw-excansopts"><li> | |||
{{soacopyright | 2023 }} | {{soacopyright | 2023 }} | ||
Latest revision as of 00:27, 20 November 2023
Annuity A pays 1 at the beginning of each year for three years. Annuity B pays 1 at the beginning of each year for four years. The Macaulay duration of Annuity A at the time of purchase is 0.93. Both annuities offer the same yield rate.
Calculate the Macaulay duration of Annuity B at the time of purchase.
- 1.240
- 1.369
- 1.500
- 1.930
- 1.965
Copyright 2023 . The Society of Actuaries, Schaumburg, Illinois. Reproduced with permission.