You are a bond portfolio manager and have $3 million that you will invest for 3 years. You have an obligation due in 3 years and you want to immunize your portfolio against interest rate risk over this horizon. You use the $3 million to invest in two zero coupon bonds: a 4 year bond and a 1 year bond. How much money should you invest in the 4 year bond?

1. A) $0

2. B) $0.8 million

3. C) $1 million

4. D) $2 million

5. E) $3 million