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| rev | Admin | (Created page with "'''Solution: C''' First, the present value of the liability is <math display = "block"> \mathrm{PV} = 35,000 a_{\overline{15}|6.2\%} = 335,530.30. </math> The duration of the liability is: <math display = "block"> \overline{d} = \frac{\sum tv^tR_t}{\sum v^tR_{t}} =\frac{35,000v+2(35,000)v^{2}+\cdots+15(35,000)v^{15}}{335,530.30}={\frac{2,312,521.95}{335.530.30}}=6.89214 </math> Let X denote the amount invested in the 5 year bond. Then <math display = "block"> \fra...") | Nov 19'23 at 18:04 | +596 |