Question: Today is 1 July 2 0 2 1 . Jacob has a portfolio which consists of two different types of financial instruments ( henceforth referred
Today is July Jacob has a portfolio which consists of two different types of financial instruments henceforth referred to as instrument A and instrument B Jacob purchased all instruments on July to create this portfolio and this portfolio is composed of units of instrument A and units of instrument B
Instrument A is a zerocoupon bond with a face value of This bond matures at par. The maturity date is January
Instrument B is a Treasury bond with a coupon rate of j pa and face value of This bond matures at par. The maturity date is January
c What is the current duration of instrument B Express your answer in terms of years and round your answer to three decimal places. Assume the yield rate is j pa
a
b
c
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