Use the Following Information for Questions

Multiple Choice

Use the following information for questions
A bank has an obligation of $750 at the end of the first period and $550 at the end of the second period.It also has $1,528.93 to invest and can choose between zero-coupon bond or the coupon bond.The coupon bond matures in two years, pays an annual coupon of $100, and has a balloon payment of $1,400.The zero-coupon bond has a balloon payment of $1,610 at the end of the second year.The default-free yield on a one-year bond is 10%, and the annualized yield on a two-year bond is also 10%.
-What is the duration of the bank's liability?

A) 2.5 years
B) 2 years
C) 1.85 years
D) 1.4 year
E) 0.77 year