There are two bonds. Bond A is a zero-coupon bond with a maturity of 20 years, the yield to maturity is 3%, and a face value of 1100. Bond B is a coupon-paying bond with a maturity of 15 years, a face value of $1200, and a yield to maturity of 4%. The coupon rate of this bond is 6%. The prices of both bonds are not provided. Consider the following two statements:

I. The zero-coupon bond has a higher duration than the coupon-paying bond

II. If the coupon rate of Bond B is higher than 6%, then all else equal (ceteris paribus), the duration of Bond B will be lower.

Select one:

a.

Only statement I is correct

b.

Only statement II is correct

c.

Both statements are correct

d.

Both statements are incorrect