2. A company has liabilities of 1000 and 2000 due at the end of periods 1 and 2. respectively. The company has the following two types of bonds they can use to construct their asset portfolio. The vield for all payments is 5%. Bond A is a two-year 100 par value bond with 5% annual coupons. Bond B is a one-year zero coupon bond redeemable at 100. (a) Determine the cost of the portfolio that exactly matches asset income to liabilities (b) Determine the modified duration of the portfolio that you constructed in Part(). (10) (c) The company has an additional liability of 500 due at the end of period 3. Determine the cost of the portfolio that matches the present value and the duration of the liability cash flow and determine whether or not the conditions for Redington immunization are satisfied. 2. A company has liabilities of 1000 and 2000 due at the end of periods 1 and 2. respectively. The company has the following two types of bonds they can use to construct their asset portfolio. The vield for all payments is 5%. Bond A is a two-year 100 par value bond with 5% annual coupons. Bond B is a one-year zero coupon bond redeemable at 100. (a) Determine the cost of the portfolio that exactly matches asset income to liabilities (b) Determine the modified duration of the portfolio that you constructed in Part(). (10) (c) The company has an additional liability of 500 due at the end of period 3. Determine the cost of the portfolio that matches the present value and the duration of the liability cash flow and determine whether or not the conditions for Redington immunization are satisfied