Revision as of 14:54, 20 November 2023 by Admin (Created page with "'''Solution: C''' Using the general Macaulay duration formula: <math display = "block"> \frac{\sum R_tv_t t}{\sum R_t v^t} </math> where R is the cashflow: {| class="table" ! Period !!Cashflow !! PV at 8% !! Period ×PV |- |1 ||10 ||9.26 ||9.26 |- |2 || 12 ||10.29 ||20.58 |- |3 ||15 ||11.91 ||35.73 |- |4 ||20 ||14.70 ||58.80 |- |5 ||30 ||20.42 ||102.10 |- |Total ||66.58 ||226.47 |} Macaulay duration = 226.47/66.58 = 3.401472 years {{soacopyright | 2023 }}")
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Exercise

AAdmin
Nov 20'23

Answer

Solution: C

Using the general Macaulay duration formula:

[[math]] \frac{\sum R_tv_t t}{\sum R_t v^t} [[/math]]

where R is the cashflow:

Period Cashflow PV at 8% Period ×PV
1 10 9.26 9.26
2 12 10.29 20.58
3 15 11.91 35.73
4 20 14.70 58.80
5 30 20.42 102.10
Total 66.58 226.47


Macaulay duration = 226.47/66.58 = 3.401472 years

Copyright 2023 . The Society of Actuaries, Schaumburg, Illinois. Reproduced with permission.

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