Question: 3. A pension plan would like to shield its liabilities, due in exactly 3 years, from interest rate fluctuations. The current YTM is 10%. The

3. A pension plan would like to shield its liabilities, due in exactly 3 years, from interest rate fluctuations. The current YTM is 10%. The strategies it is considering are: a. Purchase a 10-year bond with 9% coupon rate (hold it for 3 years) b. Purchase a 1-year zero coupon and then roll it over (twice) c. Purchase a 4-year bond with 34.85% coupon (hold it for 3 years) What is the Macaulay duration of each alternative? Which immunizes the portfolio

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