Third Duration Investments Has the Following Assets and Liabilities on Its

Multiple Choice

Third Duration Investments has the following assets and liabilities on its balance sheet. The two-year Treasury notes are zero coupon assets. Interest payments on all other assets and liabilities occur at maturity. Assume 360 days in a year.
-What is the duration of this bond?

A) 5 years.
B) 4.31 years.
C) 3.96 years.
D) 5.07 years.