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Problem 2 : A bank is holding par value of $ 1 5 million of corporate bonds. The bonds mature in 1 6 years and

Problem

2

A bank is holding par value of $

15

million of corporate bonds. The bonds mature in

16

years and pay interest semiannually. The coupon rate on the bonds is

8 %

and the current yield to maturity is

7 % .

What is the duration of the bond holdings?

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