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Genevieve has a single liability of 5000 due in 15 years' time. The yield on...

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Finance

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Genevieve has a single liability of 5000 due in 15 years' time. The yield on zero-coupon bonds of any term is currently 6% per year, and Genevieve has cash equal to the present value of the liability. She wishes to invest in 11-year and 17-year zero-coupon bonds to fully immunize her liability against change of interest rate. Let us say that Genevieve buys A zero-coupon bonds that mature in 11 years of face value 1 and B zero-coupon bonds of face value 1 that mature in 17 years. Find A and B. A. (A=1320.16, B=3745.33) B. (A=1270.16, B=3785.67) c. (A=1390.63, B=3675.82) D. (A=1400.43, B=3835.44) E. (A=3855.50, B=1230.55)

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