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Third Duration Investments Has the Following Assets and Liabilities on Its

question 60

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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. 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 liabilities? A) 0.708 years. B) 0.354 years. C) 0.350 years. D) 0.955 years. E) 0.519 years. What is the duration of the liabilities?

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