Today is 15 May 2020, Sue just purchased a Treasury bond with a coupon rate of j2 = 3.2% p.a. and a face value of $100 that matures at par. The purchase price was $98.634. The maturity date of this bond is 15 May 2022. d) Which of following statement is incorrect?

a. We can use the duration of this Treasury bond to measure its price sensitivity.

b. The duration of this Treasury bond will be higher if its coupon rate is higher.

c. The purchase price (i.e., 98.634) of this Treasury bond will increase if the yield rate at purchase is lower.

d. The purchase price of this Treasury bond will decrease, if this Treasury bond is subject to a 30% tax on interest and capital gain.