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A portfolio manager wants to estimate the interest rate risk of a bond using duration. The current price of the bond is 88.0 A valuation
A portfolio manager wants to estimate the interest rate risk of a bond using duration. The current price of the bond is 88.0 A valuation model found that if interest rates decline by 20 basis points, the price will increase to 89.2 and if interest rates increase by 20 basis points, the price will decline to 87. Use the approximate formula for duration and calculate the approximate duration of the bond.
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