Assume that all bonds pay annual coupons and have par values of $1,000 unless otherwise stated.

3. Bond A has a duration of 3.75 and a price of $1,044.20 and bond B has a duration of 6.90 and a price of $1,107.85. the interest rate is 5.5% on all bonds. 4 pts a. You would like a portfolio of bonds A and B to have a duration of 6.20. What would be the portfolio weights? b. Suppose instead you have a $10,500,000 cash flow five years from today that you would like to immunize. How much (\$) will you have to invest in bond A today? c. How many contracts of bond B will you need in your portfolio today