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题目解析

Community Bank has a $5 million par value position in a bond with the following characteristics:

  • The bond is a 5-year, zero-coupon bond.
  • The bond is priced to yield 5% on a semiannual basis.
  • The historical mean change in daily yields is 0.0%.
  • The standard deviation in yield is 36 basis points.
The modified duration of the bond is closest to:


A. 4.395.
B. 2.524.
C. 4.878.
D. 5.000.