Consider the following portfolio of assets and liabilities. The time, t, is measured in years. Assets: A payment of £909.09 t = 1 and a payment of £1,100 at t = 3. Liabilities: A payment of £2,000 at t = 2. The interest rate is 10% p.a. Calculate the present value of the Assets: £ Liabilities: £ Enter an answer correct to 2 decimal places Calculate the effective duration of the Assets: Liabilities: Enter an answer correct to 2 decimal places Calculate the convexity of the Assets: Liabilities: Enter an answer correct to 2 decimal places Does the portfolio of assets and liabilities satisfy the conditions for Redington's immunisation? Yes Ο Νο
Consider the following portfolio of assets and liabilities. The time, t, is measured in years. Assets: A payment of £909.09 t = 1 and a payment of £1,100 at t = 3. Liabilities: A payment of £2,000 at t = 2. The interest rate is 10% p.a. Calculate the present value of the Assets: £ Liabilities: £ Enter an answer correct to 2 decimal places Calculate the effective duration of the Assets: Liabilities: Enter an answer correct to 2 decimal places Calculate the convexity of the Assets: Liabilities: Enter an answer correct to 2 decimal places Does the portfolio of assets and liabilities satisfy the conditions for Redington's immunisation? Yes Ο Νο
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
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