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Consider a 20-year maturity floating-rate bond. Its coupon reset formula is LIBOR+2%. Its discount rate is LIBOR+2%. The discount rate of fixed cash flows is

  1. Consider a 20-year maturity floating-rate bond. Its coupon reset formula is LIBOR+2%. Its discount rate is LIBOR+2%. The discount rate of fixed cash flows is 8%. What is the Macaulay duration of this bond? Assume annual coupon payment. (6 points) a. 1 b. 0.90 c. 0.97 d. 0.93

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