The yield curve reveals that the 1-year spot rate is 6.5%, the 2-year spot rate is 10.2%, and the 3-year spot rate is 12.4%. What is the duration of a 3-year bond with a face value of $1,000.00 making annual coupon payments of 11.2%? Do not report the Macaulay duration. O a. 1.91

The yield curve reveals that the 1-year spot rate is 6.5%, the 2-year spot rate is 10.2%, and the 3-year spot rate is 12.4%. What is the duration of a 3-year bond with a face value of $1,000.00 making annual coupon payments of 11.2%? Do not report the Macaulay duration. O a. 1.91

Essentials Of Investments

11th Edition

ISBN:9781260013924

Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Chapter1: Investments: Background And Issues

Section: Chapter Questions

Problem 1PS

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Question

100%

0
The yield curve reveals that the 1-year spot rate is 6.5%, the 2-year spot rate is
10.2%, and the 3-year spot rate is 12.4%. What is the duration of a 3-year bond with
a face value of $1,000.00 making annual coupon payments of 11.2%? Do not
report the Macaulay duration.
a. 1.91
O b.
2.22
O c. 1.65
O d. 2.55
O e.
O f.
1.76
O g. 2.42
2.05
Oh. 2.69

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