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Assuming an annual coupon, modified duration ≈ 2.99. So I’d have guessed they would've crossed closer to (2 * 2.99 - 1) = 4.98 years.
I did it with ZCBs so the duration is a bit longer but still doesn’t get it quite right. I’d guess the fact that duration changes a lot over the period throws the approximation off.
I tried to replicate it with ZCB matching duration below. It makes sense that given the flat yield curve that eventually the higher coupon would be more beneficial though of course making the conditions more general would also complicate thingspic.twitter.com/a2MPOYRgpO
Interestingly from the paper that Corey posted in his reply to my thread the breakeven is 2D-1 which is pretty close to where this lines up given the eff duration of a ZCB
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