I m struggling with question (b) and (c). The professor only give a result without process. I m really appreciate if there anyone can list the process.

Quest ion 2 Assume that a pension fund has an obligation to pay 1 million in 10 years. It wishes to invest money now in three corporate bonds so that it will meet this obligation. Three corporate bonds are available for the pension fund to invest. They have the following information given in the table. 9% yield, 100 principle, semi-compounding coupon rate maturity price duration convexity bond A 6% 30 69.04 11.44 306.34 bond B 11% 10 113.01 6.54 53.11 bond C 9% 20 100.00 9.61 131.34 (a) Explain the meaning of a bond's duration and convexity. Use bond A to illustrate how bond price changes when yield increases to 10%. [4] (1)) Construct a bond portfolio immune to interest rate risks by matching duration as well as present value. You must give the investment in bonds you choose. [8] (c) Outline (not calculate exact values) how much your portfolio loses or gains against obligation value if yield changes to 10% step by step. 1. Describe precisely what should be calculated in each step. [4] 2. Use bond price approximation in term of duration and explain under what condition your portfolio is able to protect against interest rate risks. [4] [Total: 20 marks]