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Third Duration Investments Has the Following Assets and Liabilities on Its

Question 15

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. 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. -If interest rates increase by 20 basis points,what is the approximate change in the market price using the duration approximation? A) -$7.985 B) -$7.941 C) -$3.990 D) +$3.990
-If interest rates increase by 20 basis points,what is the approximate change in the market price using the duration approximation?


A) -$7.985
B) -$7.941
C) -$3.990
D) +$3.990

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