Assignment $7$: Chapter $16$

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My pension plan will pay me $$20,000$ once a year for a $10-$year period. The first payment will come in exactly five years. The pension fund wants to immunize its position.

$10$

Required:

a$.$ What is the duration of its obligation to me$?$ The current interest rate is $15\mathrm{.}0\%$ per year.

b$.$ If the plan uses $5-$year and $20-$year zero$-$coupon bonds to construct the immunized position, how much money ought to be placed in each bond?

c$.$ What will be the face value of the holdings in each zero?

Complete this question by entering your answers in the tabs below.

Required $A$

Required B

Required C

What is the duration of its obligation to me$?$ The current interest rate is $15\%$ per year.

References

Note: Do not round intermediate calculations. Round your answer to $2$ decimal places.

Duration

years

Required A

Required B