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An investor holds 100 three-year zero coupon bonds with a face value of 100 which each trade at 92.5. The investor wants to use a

An investor holds 100 three-year zero coupon bonds with a face value of 100 which each trade at 92.5. The investor wants to use a one-year zero coupon bond, face value of 100, which trades at 95 and a five-year zero-coupon bond with a face value of 200, which trades at 180, to immunise the portfolio.

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