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4. (10 points) You have a single liability of 120,000 payable at time 6. The valuation interest rate is i, = 0.05. You wish to

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4. (10 points) You have a single liability of 120,000 payable at time 6. The valuation interest rate is i, = 0.05. You wish to attempt to immunize this portfolio by buying two zero coupon bonds with maturities at times 2 and 12. Thus you know that L6 = 120,000. You need to find the amounts of the two bonds, A2 and A12. You can develop a system of equations to find A2 and A12 using present value and duration matching

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