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Assume annus compounding and that the yield curve is fat at d 505 pa nomiral. Suppose we hive a lability of 5700000 dut in eactly
Assume annus compounding and that the yield curve is fat at d 505 pa nomiral. Suppose we hive a lability of 5700000 dut in eactly 7 years' time. We want to immunize the fability by imesting in a conkination of 3 year couvoon paring bondh poying 950% annual coupons and 10 year tero coupon bonds. La) What is the prick of the 3 year hond? (b) Whst is the price of the 10 year bond? (c) Whyt is the present value of the liability? (d) What is the Macautay Duration of the 3 year bond (in Yearil) (c) Whut is the Moroulvy Duration of the 10 sxay boad Assume annus compounding and that the yield curve is fat at d 505 pa nomiral. Suppose we hive a lability of 5700000 dut in eactly 7 years' time. We want to immunize the fability by imesting in a conkination of 3 year couvoon paring bondh poying 950% annual coupons and 10 year tero coupon bonds. La) What is the prick of the 3 year hond? (b) Whst is the price of the 10 year bond? (c) Whyt is the present value of the liability? (d) What is the Macautay Duration of the 3 year bond (in Yearil) (c) Whut is the Moroulvy Duration of the 10 sxay boad
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