Calculate the duration of the following security: 1.25-year floating coupon paying float + 50 bps semiannually. You know that last quarter the semiannual rate was 6.4%.
Use the following discount factors when needed.
t Z(0, t)
0.25 0.9840
0.50 0.9680
0.75 0.9520
1.00 0.9360
1.25 0.9190
1.50 0.9040
1.75 0.8880
2.00 0.8730
2.25 0.8587
2.50 0.8445
2.75 0.8308
3.00 0.8175
3.25 0.8047
3.50 0.7924
3.75 0.7806
4.00 0.7691