Question 7. (10 marks) A company faces a liability of 1, which is due at t = 10. The company faces an annual effective interest rate i = 12% and covers this liability by means of two zero-coupon bonds. The first bond has face value Pt, and matures at t, the second bond has face value Pt2 and matures at t2. The company aims to immunize the liability. Thus it matches liability present value with assets (the two zero-coupon bonds) present value. It also matches liability duration with assets duration. (a) If t = 6 and t = 16, find the face values P6 and P16. Check formally, if this a Redington immunization. (b) If t = 5 and P = 0.4, find maturity t and face value Pt2 of the second bond. Check formally, if this a Redington immunization.