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You have a single liability of 13,000 payable at time 6. You attempt to fully immunize this liability by buying two zero coupon bonds with
You have a single liability of 13,000 payable at time 6. You attempt to fully immunize this liability by buying two zero coupon bonds with maturities at times 2 and 12. The yield curve is a flat 6%. How much of the 2-year bond (in terms of present value) should you buy
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