Assignment:
Suppose you invest in zero coupon bonds. One matures in 1 year, paying $100, and its price is $56.93. The other matures in 2 years, paying $1,100, and its price is $943.07.
(a) Compute the yield on each bond.
(b) Compute the duration for each bond.
(c) Compute the weighted-average duration for the portfolio of the two bonds.
(d) Compute the duration of the portfolio of the two bonds.