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Consider three Treasury bonds each of which has a 10 percent semiannual coupon and trades at par. a. Calculate the duration for a bond that
Consider three Treasury bonds each of which has a 10 percent semiannual coupon and trades at par.
a. Calculate the duration for a bond that has a maturity of four years, three years, and two years?
b. What conclusions can you reach about the relationship of duration and the time to maturity? Plot the relationship.
(include formulas please)
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