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Suppose that the Law of One Price holds. Consider the information below. Bond Face value Maturity Price STRIP $100 6 months $94.97 STRIP $100 12

Suppose that the Law of One Price holds. Consider the information below.

Bond

Face value

Maturity

Price

STRIP

$100

6 months

$94.97

STRIP

$100

12 months

$92.49

Can you find the duration of a one-year Treasury Note with: (i) an annualized coupon rate of 6% that makes semi-annual coupon payments; and (ii) a face value of $100?

If your answer is YES, please compute the duration of the Treasury Note in years rounded to two decimal places (e.g., 1.23 years).

If your answer is NO, explain why you cannot compute the duration of the Treasury Note.

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