Question: Thirdly, client Colin Limiteds pension plan obligation has a duration of 15 and a convexity of 20. Colins immunization strategy will use 3 bonds, issued

Thirdly, client Colin Limiteds pension plan obligation has a duration of 15 and a convexity of 20. Colins immunization strategy will use 3 bonds, issued by firms named Eleonore, Frissel, and Greta, respectively. The bonds have the following parameters:

Bond Duration Convexity

Eleonore 9.00 29.00

Frissel 18.00 36.00

Greta 21.00 48.00

  1. What weights should Ms. Thompson recommend for Colins strategy? Current yield curve, flat at 5%

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