An insurance business has a $2,600 liability that is due in three years. Using an annual effective rate of 4%, determine which portfolio of two zero-coupon bonds produces full immunization of liability.

A) 4-year bond with current price of 2,311

B) 2-year bond with current price of 830; 4-year bond with current price of 1,481

C) 2-year bond with current price of 2,311

D) 1-year bond with current price of 770; 4-year bond with current price of 1,541

E) 2-year bond with current price of 1,130; 5-year bond with current price of 1,201