Suppose that you need to pay $35,000 in three years and that you can finance this with zero-coupon bonds yielding 5.5% with terms of two years and six years. Imagine that you spend $22,354.86 purchasing a two-year bond and $7451.62 for a six-year bond, and these are each priced to yield 5.5%. Suppose also that, at the end of two years, no matter what the yield rate i may then be, you sell the remaining bond at a purchase price to yield i, combine the proceeds with the $24881.52 from the redeemed bond, and use the total to buy a one-year zero-coupon bond. Illustrate that this immunizes against interest rate risk by showing that it produces the needed $35,000 three years after your initial bond purchases if i = 18% (a high rate) or i = 1% (a low rate).

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