A Treasury bond has a semi- annually compounded yield of 4% per annum and a coupon rate of 6% per annum (the coupons are paid semi-annually). The bond matures in 18 months and the next coupon will be paid 6 months from now. Which number below is closest to the bond’s Macaulay duration?
　　A.     1.023 years
　　B.     1.457 years
　　C.     1.500 years
　　D.     2.915 years
　　Answer: B

Year

CF

PV

0.5

3

2.94

2.86%

0.0143

1

3

2.88

2.80%

0.028

1.5

103

97.06

94.34%

1.4151

Total

 

102.88

 

1.4574

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