Your liabilities have a present value (market value) of $100 million and an average duration of 3. For your assets you may choose some combination of one-year zero coupon bonds and five-year zero coupon bonds. The market value of your assets must equal the market value of your liabilities. If X equals the amount that you invest in one-year coupon bonds and Y equals the amount that you invest in five-year zero coupon bonds, it must be true that X+Y=$100 million. The average duration of your assets must also equal the average duration of your liabilities. Which of the following equations must then also be satisfied by X and Y ? 5X+Y=100 million X+5Y=300 million 5XY=300 million X5Y=100 million