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A zero-coupon bond with a maturity of 10...

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题目

A zero-coupon bond with a maturity of 10 years has an annual effective yield of 10%. What is the closest value for its modified duration?

选项

A.9

B.10

C.99

D.100

答案

A

解析

MAC.D=M.D*(1+y)MD=Mac.D/(1 y)=10/(1 10%)=9