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Find A_1 and A_5 (2) Determine whether or not the conditions for Redington immunization are satisfied. Lability payments of 100 each are due to be
Find A_1 and A_5
(2) Determine whether or not the conditions for Redington immunization are satisfied.
Lability payments of 100 each are due to be paid in 2, 4 and 6 years from now. Asset cashflow consists of A in 1 year and A5 in 5 years. The yield for all pay- ments is 10%. an attempt is made to have the asset cash flow immunize the liability cashflow by matching present value and duration.
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Present value of liabilities 100 11021001104100 1106 207393 Duration of liabilities 2100 11024100110 ...
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Advanced Financial Accounting
Authors: Thomas Beechy, Umashanker Trivedi, Kenneth MacAulay
6th edition
013703038X, 978-0137030385
