Fixed Income Q94

0. A bond with a Macaulay duration of 10 years, a yield to maturity of 8% and semiannual payments will have a modified duration of:

Answer
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Option : B
Explanation : Modified duration = (Macaulay Duration) / (1 + r) = 10 / ( 1 + ( 0.08 / 2 ) ) = 9.62 years

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