Bank XVB has Bond A in its asset portfolio. Bond A is a $3-$year zero$-$coupon bond with $5\%$ yield to maturity and a face value of $10,000.$ In its liabilities side, Bank XVB has another zero$-$coupon bond, with maturity of $1$ year, yield to maturity of $2\%,$ and a face value of $8,000.$ What is the bank$$s duration gap?

Question $1$Answer

a$.$

$-2\mathrm{.}002$

b$.$

$1\mathrm{.}967$

c$.$

$2\mathrm{.}000$