Question: Priston has decided to fund a three - year liability with a portfolio consisting of positions in a two - year zero - coupon bond

Priston has decided to fund a three-year liability with a portfolio consisting of positions in a two-year zero-coupon bond and a four-year zero-coupon bond. The current interest rate is 10%.
a. Compute the price and the Duration of the Bond portfolio
(5 marks)
b .Instantly after Jish made the purchase, interest rate falls to 8%. If he does not rebalance the Portfolio, what is the realized yield after three years? Compute the Terminal value of the Portfolio.
(5 marks)
Priston has decided to fund a three - year

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