Assignment: A company that has to pay $100,000 in 3.5 years. We found that, on the basis of interest rate 0.03, a portfolio of X= 40.26 two-year zero-coupon bonds and Y - 45.56 three-year bonds matches the liability both in present value and duration. Prove that the convexity of the bonds is higher than the convexity of the liability. Assignment: A company that has to pay $100,000 in 3.5 years. We found that, on the basis of interest rate 0.03, a portfolio of X= 40.26 two-year zero-coupon bonds and Y - 45.56 three-year bonds matches the liability both in present value and duration. Prove that the convexity of the bonds is higher than the convexity of the liability