The Duration of a 3-Month Treasury Futures Contract Is 3

question 73

Multiple Choice

The duration of a 3-month Treasury futures contract is 3.46 years. What is the duration of the underlying Treasury note?

• A)2.98 years
• B)3.11 years
• C)3.21 years
• D)3.36 years
• E)3.48 years

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