Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
Related questions
Question
Suppose a company has a £1 million obligation in 10 years’ time. Assume the yield curve is flat at 9%. The following annual coupon bonds (in the table attached below) are available to construct an immunised portfolio to meet this obligation. Using a discount factor of 9%, calculate the
Transcribed Image Text:Bond Coupon Maturity (y)
Price Yield Duration (y)
A
6%
30
69.04 9%
11.44
B
11%
10
113.01
9%
6.54
C
9%
20
100.00
9%
9.61
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