You have a liability of 100,000 to be paid in two years time. Assume a flat-term structure of 2.4% per annum. You wish to immunise this debt using two available bonds: a 3-year 100 zero-coupon bond and a 5-year 100 zero-coupon bond. Construct a duration-immunising portfolio from these bonds (fractions of bonds are permitted). If after exactly one year, all rates rise by 0.6%, compare the change in the present value of your bond holding with the change in the present value of the liability (i) using a linear approximation in the rate change and (ii) exactly. Reference values lo present time. You have a liability of 100,000 to be paid in two years time. Assume a flat-term structure of 2.4% per annum. You wish to immunise this debt using two available bonds: a 3-year 100 zero-coupon bond and a 5-year 100 zero-coupon bond. Construct a duration-immunising portfolio from these bonds (fractions of bonds are permitted). If after exactly one year, all rates rise by 0.6%, compare the change in the present value of your bond holding with the change in the present value of the liability (i) using a linear approximation in the rate change and (ii) exactly. Reference values lo present time