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A zero-coupon bond, with par value of $1000, current YTM is 8% compounded semi-annually, and 2 years to maturity. What are the bonds duration and

A zero-coupon bond, with par value of $1000, current YTM is 8% compounded semi-annually, and 2

years to maturity. What are the bonds duration and convexity? (Note: one period is a half-year)

(2 marks)

23.

  1. 4 periods, and 18.49 period2

  2. 3.83 periods, and 15.28 period2

  3. 4 periods, and 22.16 period2

  4. 3.83 periods, and 20.14 period2

  5. none of the above

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