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That would be the value that is used to find the terminal value of the liability of the portfolio.
i.e. 100MM to invest now for 3 years. 100(1.025)^6 would give the terminal value. Then obviously that value discounted by the current immunization rate.
Edited 1 time(s). Last edit at Tuesday, May 31, 2011 at 12:02PM by Paraguay. |
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发表于 2011-7-13 13:32
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