My pension plan will pay me $10,000 once a year for a 10-year period. The first payment will come exactly in 5 years. The pension fund wants to immunize its position.

a. What is the duration of the plans obligation to me? The current yield is 10% per year.

b. If the plan uses a combination of 5-year and 20-year zero coupon bonds to construct the immunized position, how much money ought to be placed in each bond?

c. How many bonds of each will be held by the plan?