Today is 15 September 2021. Jay has a portfolio which consists of two different types of financial instruments (henceforth referred to as instrument A and instrument B).

• Instrument A is a zero-coupon bond with a face value of 100. This bond matures at par. The maturity date is 15 March 2027.
• Instrument B is a Treasury bond with a coupon rate of j₂ = 4.31% p.a. and face value of 100. This bond matures at par. The maturity date is 15 March 2027.

Which one of the following statements is true?

a.

The duration of instrument A is lower than the duration of instrument B

b.

Without the yield rate information, we can not find the duration of instrument A

c.

The duration of instrument B can be longer if the coupon rate of instrument B is higher.

d.

None of above statement is true