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You are the new portfolio manager for a large companys pension plan.The plan hasto make payments of $5B in a year (t=1), $6B in 2
You are the new portfolio manager for a large companys pension plan.The plan hasto make payments of $5B in a year (t=1), $6B in 2 years (t=2), $7B in 3 years (t=3),and $2B in 4 years (t=4).The yield curve is at at 4%.What is the duration of theseliabilities?
A.2.27 years
B.1.42 years
C.3.13 years
D.2.88 years
E.1.76 years
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