Problem 3 Consider a bond portfolio consisting of three bonds B1, B2, B3 worth 0.5 million, 0.2 million and 1 million respectively with modified durations D1 = 2.3, D2 = 3.1, D3 = 4.6 and convexities Cv1 = 5.8, Cv2 = 4.2, Cv3 = 6.1. Use two bonds B4, B5 with modifies durations D4 = 1.8, D = 2.1 and convexities C4 = 8.2, Cs = 11.6 to immunize the portfolio against interest rate changes