You are the manager of a fund that will need to make the following liability cash flows at the end of each of the next two years: End of Year 1 2 YTM Liability CFS 500 1,200 4.82% End of Year +260 1,200 The only assets available to invest in to back these liabilities are the following bonds: Face Zero coupon Coupon Bond Coupon Term Coupon rate value yield r(0,t) Price Bond YTM 1 3.00% 1,000 4.00% 990.38 4.00% 5.00% 1,000 5.00% 1,000.46 4.98% (a) Explain the difference between a portfolio that is cash flow matched and a portfolio that is immunized. (b) Calculated the modified duration of the liabilities. (c) Construct a portfolio using the above bonds such that the portfolio is cash flow matched You are the manager of a fund that will need to make the following liability cash flows at the end of each of the next two years: End of Year 1 2 YTM Liability CFS 500 1,200 4.82% End of Year +260 1,200 The only assets available to invest in to back these liabilities are the following bonds: Face Zero coupon Coupon Bond Coupon Term Coupon rate value yield r(0,t) Price Bond YTM 1 3.00% 1,000 4.00% 990.38 4.00% 5.00% 1,000 5.00% 1,000.46 4.98% (a) Explain the difference between a portfolio that is cash flow matched and a portfolio that is immunized. (b) Calculated the modified duration of the liabilities. (c) Construct a portfolio using the above bonds such that the portfolio is cash flow matched