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Consider the following portfolio of assets and liabilities. The time, t, is measured in years. Assets: A payment of £1,960.78 t = 4 and a payment of £2,040 at t = 6. Liabilities: A payment of £4,000 at t = 5. The interest rate is 2% 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: 数字 Liabilities: 数字 Enter an answer correct to 2 decimal places Calculate the convexity of the Assets: 数字 Liabilities: | 数字 Enter an answer correct to 2 decimal places Does the portfolio of assets and liabilities satisfy the conditions for Redington's immunisation? Yes ○ No

Consider the following portfolio of assets and liabilities. The time, t, is measured in years. Assets: A payment of £1,960.78 t = 4 and a payment of £2,040 at t = 6. Liabilities: A payment of £4,000 at t = 5. The interest rate is 2% 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: 数字 Liabilities: 数字 Enter an answer correct to 2 decimal places Calculate the convexity of the Assets: 数字 Liabilities: | 数字 Enter an answer correct to 2 decimal places Does the portfolio of assets and liabilities satisfy the conditions for Redington's immunisation? Yes ○ No

Advanced Engineering Mathematics
Advanced Engineering Mathematics
10th Edition
ISBN:9780470458365
Author:Erwin Kreyszig
Publisher:Erwin Kreyszig
Chapter2: Second-order Linear Odes
Section: Chapter Questions
Problem 1RQ
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Consider the following portfolio of assets and liabilities. The time, t, is measured in years. Assets: A payment of £1,960.78 t = 4 and a payment of £2,040 at t = 6. Liabilities: A payment of £4,000 at t = 5. The interest rate is 2% 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: 数字 Liabilities: 数字 Enter an answer correct to 2 decimal places Calculate the convexity of the Assets: 数字 Liabilities: | 数字 Enter an answer correct to 2 decimal places Does the portfolio of assets and liabilities satisfy the conditions for Redington's immunisation? Yes ○ No
Transcribed Image Text:Consider the following portfolio of assets and liabilities. The time, t, is measured in years. Assets: A payment of £1,960.78 t = 4 and a payment of £2,040 at t = 6. Liabilities: A payment of £4,000 at t = 5. The interest rate is 2% 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: 数字 Liabilities: 数字 Enter an answer correct to 2 decimal places Calculate the convexity of the Assets: 数字 Liabilities: | 数字 Enter an answer correct to 2 decimal places Does the portfolio of assets and liabilities satisfy the conditions for Redington's immunisation? Yes ○ No
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