An investor purchases an annual coupon bond with a 6% coupon rate and exactly 20 years remaining

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An investor purchases an annual coupon bond with a 6% coupon rate and exactly 20 years remaining until maturity at a price equal to par value. The investor’s investment horizon is eight years. The approximate modified duration of the bond is 11.470 years. The duration gap at the time of purchase is closest to:

A. −7.842.

B. 3.470.

C. 4.158.

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Fixed Income Analysis

ISBN: 9781119850540

5th Edition

Authors: Barbara S. Petitt

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