Question: You own an annuity with two (equal) payments remaining, one in 9 months and one in 21 months. Given a flat term structure at r=5%

You own an annuity with two (equal) payments remaining, one in 9 months and one in 21 months. Given a flat term structure at r=5% (BEY), what is the modified duration (with respect to s.a. compounded rates) of your annuity position?

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