Today is 15 November 2021, Sandy just purchased a Treasury bond with a coupon rate of j₂ = 3.105% p.a. and a face value of $100 that matures at par. The maturity date of this bond is 15 May 2023.

b) Calculate the modified duration of this Treasury bond. Assume the yield rate is j₂ = 3.74% p.a. Give your answer in terms of years, rounded to four decimal places.

a. 1.4500

b. 2.8999

c. 2.8463

d. 1.4771