Q. Consider a bond that makes annual coupon payments. If the term to maturity is exactly equal to two years (two coupon payments and the principal remain to paid) what can you conclude about the Macaulay duration of the bond?
A)The Macaulay duration is equal to 2 (years).
B) The Macaulay duration is less than 1 (year).
C)The Macaulay duration is greater than 1 but smaller than 2 (years).
D) None of the above.
Answer: C) The Macaulay duration is greater than 1 but smaller than 2 (years).
September 2018, Risk Management Professional Certificate
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