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Four years from today there is a $12,500,000 cash flow that needs to be immunized today. There are three bonds being considered for the immunization

Four years from today there is a $12,500,000 cash flow that needs to be immunized today. There are three bonds being considered for the immunization portfolio: Bond A has 9 years to maturity, a 6.0% coupon and a quoted price of 110.903; bond B is a two-year zero-coupon bond with a quoted price of 91.573; and bond C is a three-year bond with a coupon of 4.0%. The YTM on all bonds is 4.5%. Bond A has a duration of 7.31. Assume all bonds pay annual coupons and have par values of $1,000.

What is the duration of bond C?

What should be the value of the immunization portfolio?

It is determined that the immunization portfolio will be comprised of bonds A and B only. What are the weights of the immunization portfolio?

How many contracts of each bond A and bond B will be in the immunization portfolio?

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