For a zero-coupon bond, which statement about duration is true?

• A. The duration is equal to the bond's maturity.
• B. Duration is always shorter than maturity.
• C. Duration is zero.
• D. Duration is irrelevant to maturity.

Answer: (A)

Duration measures a bond’s sensitivity to interest-rate changes, essentially the weighted average time to receiving the bond’s cash flows. For a zero-coupon bond, there is only one cash flow at maturity, so all the weight is on that single date. The weighted average time to payoff is exactly the time to maturity, so the duration in years equals the bond’s maturity.

This is why the statement is true: there’s no interim cash flow to shift the average payoff closer in time, so duration can’t be shorter than maturity, isn’t zero, and isn’t irrelevant to maturity.