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Brenton, Berean and Basak (BBB) is a pension fund specialist looking for a bond with a...

Brenton, Berean and Basak (BBB) is a pension fund specialist looking for a bond with a particular duration to add to their existing portfolio in order to immunize the portfolio. Crawford, Coty and Connor (CCC) has an outstanding bond with a 8.975% coupon, 4 years to maturity, and a yield to maturity of 11.5% that meets BBB’s criterion.

12. What would be the modified duration of the above bond if it paid interest semi-annually? (2 points)

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