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Your bond portfolio consists of $30 million worth of Treasury STRIPS with 7 years to maturity, and $10 million of Treasury notes with a Macaulay
Your bond portfolio consists of $30 million worth of Treasury STRIPS with 7 years to maturity, and $10 million of Treasury notes with a Macaulay duration of 3 years. The term structure is flat, and all spot rates are 3%. What is the modified duration of your portfolio?
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