单选题 What is the duration of a floating rate bond that has six years remaining to maturity and has semi-annual coupon payments. Assume a flat-term structure of 6 percent. Which of the following is closest to the correct duration?

A、

A. 0.500.
B、

B. 6.000.
C、

C. 12.000.

【正确答案】 A

【答案解析】The duration of a floating rate bond is equal to the time until the next coupon payment takes place. As the coupon rate changes semi-annually with the level of the interest rate, a floating rate bond has the same duration as a pure discount bond with time to maturity equal to the time to the next coupon payment of the floating rate bond.