My pension plan will pay me$5,000 once a year for a 10 -yearperiod. The first payment will come in exactly five years. Thepension fund wants to immunize its position.
a. What is the duration of its obligation to me? The currentinterest rate is 8% per year.
b.If the plan uses 3-year and 30-year zero-coupon bonds toconstruct the immunized position, how money ought to be placed ineach bond?
c.What will be the face value of the holdings in each zero?
