Consider a fund that invests in mortgages.

In which case does the fund's equity value decrease most in response to an increase in the market interest rate?

a.Duration is 10 years for the fund's asset and 1 year for the fund's liability

b. Duration is 1 year for the fund's asset and 10 years for the fund's liability

c. Duration is 5 years for the fund's asset and 5 years for the fund's liability.

d. Duration is 20 years for the fund's asset and 20 years for the fund's liability