A hedge fund specializes in investments in emerging market sovereign debt. The fund manager believes that the implied default probabilities are too high, which means that the bonds are viewed as “cheap” and the credit spreads are too high. The hedge fund plans to take a position on one of these available bonds.

The coupon payments are annual. The yields-to-maturity are effective annual rates. The prices are per 100 of par value.

Compute the approximate modified duration of each of the three bonds using a 1 bp change in the yield-to-maturity and keeping precision to six decimals (because approximate duration statistics are very sensitive to rounding).

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Bond (A) (B) (C) Time-to-Maturity 10 years 20 years 30 years Coupon Rate 10% 10% 10% Price 58.075279 51.304203 50.210636 Yield-to-Maturity 20% 20% 20%