Third Duration Investments has the following assets and liabilities on its balance sheet. The two-year Treasury notes are zero coupon assets. Interest payments on all other assets and liabilities occur at maturity. Assume 360 days in a year.
-What is the duration of the liabilities?
A)0.708 years.
B)0.354 years.
C)0.350 years.
D)0.955 years.

Question

Third Duration Investments has the following assets and liabilities on its balance sheet. The two-year Treasury notes are zero coupon assets. Interest payments on all other assets and liabilities occur at maturity. Assume 360 days in a year.  
-What is the duration of the liabilities?
A)0.708 years. 
B)0.354 years. 
C)0.350 years. 
D)0.955 years.

Quizplus · Accepted Answer

11efb86f_570f_849b_9137_91c9c300cc9a_TB1314_00

Third Duration Investments Has the Following Assets and Liabilities on Its