2019 Q1b (Immunization)

A 5-year bond with annual coupons 4% of the face value is trading at yield-to-maturity 5%. What is the
duration of the bond?

2019 Q7c (Immunization)

A pension liability consists of annual payments according to the schedule in the table below:

The interest rate is 5% (assume at term structure). You seek to hedge the liability against changes in the
at term structure, taking positions in a bond portfolio with duration 10 years. How much do you need to
invest in these bonds to hedge the liabilities?