Question
You manage a pension fund, and your liabilities consist of three payments as follows: Time Payment 5 years 5 million 10 years 10 million 30
You manage a pension fund, and your liabilities consist of three payments as follows:
Time Payment
5 years 5 million
10 years 10 million
30 years 30 million
The term structure is currently flat at 10%.
a) Compute the present value of your liabilities.
b) Compute modified duration of your liabilities.
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Basic Finance An Introduction to Financial Institutions, Investments and Management
Authors: Herbert B. Mayo
11th Edition
1285425790, 1285425795, 9781305464988 , 978-1285425795
