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B8. [6 Marks] An investment manager wishes to establish a fund that will be worth $80 million in 4 years' time. She plans to follow
B8. [6 Marks] An investment manager wishes to establish a fund that will be worth $80 million in 4 years' time. She plans to follow a duration-matching approach using a 3-year zero-coupon bond and a 5-year bond paying a coupon rate of 12% pa. The 5-year bond pays coupons annually. Both bonds are currently priced to yield 6% pa. How much should she invest in the 3-year bond? How much should she invest in the 5-year bond
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