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Quant Interview Practice Questions

专题
Algorithms & Data Structures
难度
L2
来源
MyntBit

题目详情

A pension fund has a single liability of 100 million due in exactly 10 years. The current yield curve is flat at 5%. The fund wants to immunize this liability using duration matching. Which of the following strategies best describes how to achieve this, assuming the fund can only invest in zero-coupon bonds with maturities of either 5 years or 15 years?