Guys, I feel like for sure we will get in some form. What are the 2 requirements for multiple liability immunization, and what are the 2 requirements for classical immunization?
Is it…?
Multiple liability Immunization 1) duration of assets = duration of liabilites ($ or number?) and 2) range of asset duration higher than range of liabilities
Classical immunization - 1) duration of asset = duration of liabilities and 2) PV of assets = PV of liabilities
for classical pv of initial cfs = pv of liab, duration matching, fixed time horizon, duration of portfolio = duration of initial holding (w avg of indiv port), parallel shifts.
multiple= duration of asset = duration of liab, pv asset s= pv liab, parallel shifts, and wider distribution of assets than liabilities, fully invests, risky