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    Compute the Spot Rate Duration for a Straddle on a 1.5
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Compute the Spot Rate Duration for a Straddle on a 1.5

Question 1

Question 1

Short Answer

Compute the spot rate duration for a straddle on a 1.5 year zero coupon bond with K = 98.00, maturity at t = 1. Assume that p? = 0.7038 is constant over time.

Correct Answer:

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