In Chapter 2, we determined the duration of a set of cash flows by using the yield as the valuation tool. You can also find the duration by using the zero coupon rates; the result is called Fisher-Weil duration. In this method, simply value each cash flow by using the zero coupon rate for that particular cash flow bucket (that is, if the cash flow occurs at bucket t, use Rt. Likewise, the overall value of the cash flows, or instrument, if they take this form has to be established by using the zero coupon rates.

Work out the Fisher-Weil durations for each of the two coupon bonds of Q1, using the zero coupon rate data.