Question: At a certain point in time you know that 0 R 1 =1% and 0 R 2 =1.2%. Compute the duration of a portfolio of

At a certain point in time you know that ₀R₁=1% and ₀R₂=1.2%. Compute the duration of a portfolio of fixed income securities with equal portfolio weights in a zero coupon bond with 2 years and 6 months left to maturity, and in a 2%-coupon bond which is repaid with a 10% premium and with 2 years left to maturity. (The face values are equal to 1000).

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