I looked all through the practice problems in the Fixed income chapters and I cant find this problem…there was some contingent immunization problem that was asking general stuff like finding the required terminal amouny or something, then asked what happens to the immunization strategy based on liek a 100 basis point shift up in rates and a 100 basis point shift down, or something similar…
Anyone recognize this? I can’t find it to save my life…
man…I thought I am the only one who does questions in his sleep…
on a serious note, your describtion is too vague, does it require a very very long calculation involving solving double equations?
Was not a long double equation one, that sounds like a two bond quesiton.
This one was just a standard old contingent immunization problem, I swear its in the text, and it has one calculate the safety margin and all, then asks what happens (if you need to switch to immunization) if the rates go up by x amount, and down by x amount…
look at pages 36-37 or 37-38 in the text. It is in the white material - not a blue box example…
It is the one we have been solving all along 500 Mill, 4.75% - goes down to 3.75% then up to 5.9%…
Thanks CP! That will work…