FIN Ltd estimates their L $120M liability portfolio to have a duration of D 11 and a convexity of C 245 FIN immunizes their liabilities using two fixed income instruments with durations D1 4 and, respectively, D2 15 and convexities C1 20 and, respectively, C2 280 (a) What is the composition of the...

SOLUTION a The composition of the immunizing portfolio is not explicitly given in the information provided However we can infer that one of the fixedincome instruments has a duration of D115 and a con ...

FIN Ltd estimates their L=$120M liability portfolio to have a duration of D-11 and a convexity...

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FIN Ltd estimates their L=$120M liability portfolio to have a duration of D =11 and a convexity of C=245. FIN

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Fixed Income Analysis

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Authors: Barbara S. Petitt

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FIN Ltd estimates their L=$120M liability portfolio to have a duration of D-11 and a convexity...

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SOLUTION a The composition of the immunizing portfolio is not explicitly given in the information provided However we can infer that one of the fixedincome instruments has a duration of D115 and a con... View the full answer

Fixed Income Analysis

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