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Using the information below, which bond has the greatest money duration per 100 of par value assuming annual coupon payments and no accrued interest? Bond
Using the information below, which bond has the greatest money duration per 100 of par value assuming annual coupon payments and no accrued interest?
| Bond | Maturity | Price | Coupon | YTM | ModDur |
| A | 6yrs | 85.00 | 2.00% | 4.95% | 5.42 |
| B | 10 yrs | 80.00 | 2.40% | 4.99% | 8.44 |
| C | 9 yrs | 85.78 | 3.00% | 5.00% | 7.54 |
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Quantitative Finance: An Object-Oriented Approach In C++
Authors: Erik Schlogl, Dilip B. Madan
1st Edition
1584884797, 978-1584884798
