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We have the following bonds on the market: two-year zero coupon bond with a nominal value of PLN 100; three-year coupon bond with a nominal
We have the following bonds on the market:
- two-year zero coupon bond with a nominal value of PLN 100;
- three-year coupon bond with a nominal value of PLN 250 and a 6% annual coupon;
- four-year coupon bond with a nominal value of PLN 100 and an annual coupon of 7%.
We also have a stream of liabilities in 1, 2, 3 and 4 years respectively: PLN 3046, PLN 3490, PLN 3990, and PLN 4280. Provide what and how many annual coupon bonds (or zero coupon) are needed to create a perfect cash flow matching strategy. Is such collateral (strategy) resistant to changes in interest rates?
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