Question
A firm has assets of $A in 2 years and $B in 8 years and a liability of $7,000 in 5 years. The portfolio is
A firm has assets of $A in 2 years and $B in 8 years and a liability of $7,000 in 5 years. The portfolio is fully immunized based on an annual effective interest rate of 3.5%. Find the difference B A.
(A) 0
(B) 270
(C) 609
(D) 724
(E) 860
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International Finance Transactions Policy And Regulation
Authors: Hal Scott, Anna Gelpern
20th Edition
1609303164, 978-1609303167
