Exercise
Nov 20'23
Answer
Solution: E
The price is P = 950. The modified duration is
[[math]]
\frac{-P'}{P} = \frac{-4750}{950} = 5.
[[/math]]
Macaulay duration is (1.09)(5)= 5.45.
Copyright 2023 . The Society of Actuaries, Schaumburg, Illinois. Reproduced with permission.