You are a pension fund manager who has obligations over the years to come of: t: 1 2 3 4 5 CF: 6.5 7 2.5 13.5 13 The applicable rate is: 0.095 What is the modified duration of this pension obligation? ? 3.0977 ? 3.4361 ? 2.9786 ? 3.2050 ? 3.3360
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095. PV2 = 6.5 / (1 + 0.095)^2 = 5.518 PV3 = 7 / (1 + 0.095)^3 = 5.676 PV4 = 2.5 / (1 + 0.095)^4 = 1.946 PV5 = 13 / (1 + 0.095)^5 = 9.424 Show more…
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