Third Duration Investments Has the Following Assets and Liabilities on Its

question 77

Multiple Choice

Third Duration Investments has the following assets and liabilities on its balance sheet. The two-year Treasury notes are zero coupon assets. Interest payments on all other assets and liabilities occur at maturity. Assume 360 days in a year. What is the duration of the assets?

• A)0.708 years.
• B)0.354 years.
• C)0.350 years.
• D)0.955 years.
• E)0.519 years.