An investor buys a 6% annual payment bond with three years to maturity. The bond has a yield-to-maturity of 8% and is currently priced at 94.845806 per 100 of par. The bond’s Macaulay duration is closest to:单项选择题

A

2.83

B

3.12

C

2.78

D

2.62

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A zero-coupon bond has three years until maturity. The bond’s face value is $100 and the price today is $80. The bond’s duration is:

Question14 Assume the term structure of the interest rate is flat at 5%. There are two zero-coupon bonds available:[table] | Time to maturity | Face value | Coupon rate Bond A | 3 years | $100 | 0% Bond B | 9 years | $100 | 0% [/table] Suppose you have a liability that requires you to pay $100 in year 4 and another $100 in year 8, and you want to immunize your positions by using Bond A and Bond B. What is your portfolio weight in Bond A and Bond B, respectively? (Hint: You need to compute the duration of your liability and match it with the duration of your portfolio of bonds.) Select one alternative: A. 17%,83 % B. 40%,60% C. 53%,47% D. 83%,17% ResetMaximum marks: 2 Flag question undefined

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Consider the following statements. Choose the correct statement.

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