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9. Keith currently holds three bonds: bond A, bond B and bond C. Bond A is a zero-coupon bond with a remaining of five years
9. Keith currently holds three bonds: bond A, bond B and bond C. Bond A is a zero-coupon bond with a remaining of five years before maturity. Bond B has a remaining of twenty semi-annual coupons of 60. The next coupon is paid in * six months. Bond C has a coupon rate of 6% and a remaining life of ten years. Coupons are paid on an annual basis. All bonds will be redeemed at 1,500 at their respective maturity dates. The current market interest rate is 3% annual effective. Calculate the modified duration of Keith's portfolio using the market value of the bonds. A 6 B 7
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