Barbells and Bullets (25 points) The continuously compounded term structure is as follows: 1 7 puntos You have a liability of $10,000 in a 10-year zero coupon bond. The goal is to construct two portfolios, a barbell and a bullet, to delta immunize the liability. You must use the $10,000 and bonds A, B, C, and D are available to go long or short. 070,1 = 2% 070,3 = 4% Or0.8 = 5% 070,10 = 6% or 0,11 = 7% oro.20 = 9% You immunize with a bullet. Report the number of units of the two bonds you need to buy/sell. The first number corresponds to the bond with the lowest maturity and the second to the bond with the longest maturity. 6.6 and 24.9 The following four zero coupon bonds, all with a face value of $1,000, are available for trading. Bond A has a maturity of 3 years, Bond B has a maturity of 8 years, Bond Chas a maturity of 11 years, and and Bond D has a maturity of 20 years. 1.4 and 18.9 OOOOO 5 and 14.4 12.4 and 10.1 -4.5 and 20.9 Barbells and Bullets (25 points) The continuously compounded term structure is as follows: 1 7 puntos You have a liability of $10,000 in a 10-year zero coupon bond. The goal is to construct two portfolios, a barbell and a bullet, to delta immunize the liability. You must use the $10,000 and bonds A, B, C, and D are available to go long or short. 070,1 = 2% 070,3 = 4% Or0.8 = 5% 070,10 = 6% or 0,11 = 7% oro.20 = 9% You immunize with a bullet. Report the number of units of the two bonds you need to buy/sell. The first number corresponds to the bond with the lowest maturity and the second to the bond with the longest maturity. 6.6 and 24.9 The following four zero coupon bonds, all with a face value of $1,000, are available for trading. Bond A has a maturity of 3 years, Bond B has a maturity of 8 years, Bond Chas a maturity of 11 years, and and Bond D has a maturity of 20 years. 1.4 and 18.9 OOOOO 5 and 14.4 12.4 and 10.1 -4.5 and 20.9