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A two year coupon bond with a yield of 0.08 (continuously compounded) pays an 8.2% coupon...

A two year coupon bond with a yield of 0.08 (continuously compounded) pays an 8.2% coupon at the end of each year. Face value is $1000. Calculate the duration of the bond.

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Answer #1

Calculate the duration as follows:

Therefore, the duration is 1.92.

Formulas:

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