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You are running a pension fund. Your obligation is to pay back $20,000 a year at the end of the next three years to your

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You are running a pension fund. Your obligation is to pay back $20,000 a year at the end of the next three years to your pension members. Bonds currently yield 10%. If you can buy only a zero-coupon bond to immunize your liability, what is the maturity and value of zero-coupon bond that you need to buy today? If the yield increases to 12% today, what happens to your net position, i.e., the difference between the value of the zero-coupon bond and that of your obligation

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