Question
Jack has a future liability to pay. Jack believes that if his portfolio has a duration equal to the maturity of the liability payment, he
Jack has a future liability to pay. Jack believes that if his portfolio has a duration equal to the maturity of the liability payment, he can use the portfolio to immunise the interest rate risk of meeting this liability, no matter what happens to interest rates. Is he correct? Explain your answer.
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International financial management
Authors: Jeff Madura
13th edition
978-1337099738, 1337099732, 9781337515894, 1337515892, 978-1337587211
