Today, March 20th, 2009, your bond portfolio consists of three bonds. Bond A is zero-coupon bond which mature on March 20th, 2010, Bond B is coupon bearing bond with coupon rate (4+N/100)%, pays annual coupons and mature on March 20th, 2011, and Bond C is zero-coupon bond which mature on March 20th 2027. Assume that the yield curve is flat and YTM for all bonds is 5.13% as of today. Today your bond A is worth $1 million, bond B is worth $N million and bond C is worth $2 million.
A. What are the durations of each bond?