Which one of the following statement about duration is false?

a) Duration over-estimates the decrease in bond price when interest rate increases.

b) Duration is the slope of the bond pricing equation.

c) None of these.

d) Duration is the sensitivity of bond price to interest rate change.

e) Duration of a floating rate bond is equal to its time to maturity.

Pt.2

A 3-year to maturity coupon bond has annual coupons at 4% with Yield-To-Maturity of 4%. Under annual compounding, calculate the modified duration of the coupon bond. Rounding to the closest second decimal place.

4.7751.

5.7751.

6.7751.

None of these.

3.7751.