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Assume you have a portfolio comprising 3 zero-coupon bonds that have 7 years to maturity and 5 zero-coupon bonds with a maturity of 24 years.

Assume you have a portfolio comprising 3 zero-coupon bonds that have 7 years to maturity and 5 zero-coupon bonds with a maturity of 24 years. Assuming semi-annual compounding and that all bonds have a face value of 100 and that the yield curve is flat at 6% pa, what is the modified duration of this portfolio?

13.050

12.735

15.049

None of the answers provided are correct

17.047

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