Penzijni fond "zavazky 10000, po dobu 6 let" ytm=9% pa "1.bond T=6 let, C=7%" "2.bond T=1 rok, C=6,5%" Nominal obou dluhopisu = 1000 Imunizujte zavazky PF D_liabilities=D_assets sum_w_assets=W_b1+W_b2 ytm=9% sum_wi=1 1 2 3 4 5 6 10000 10000 10000 10000 10000 10000 9174.311927 8416.799933 7721.834801 7084.252111 6499.313863 5962.673269 9132.420091 8340.109672 7616.538514 6955.742935 6352.276653 5801.165893 9259.259259 8573.388203 7938.32241 7350.298528 6805.83197 6301.696269 9345.794393 8734.387283 8162.978769 7628.95212 7129.861795 6663.422238 P 44859.1859 44198.25376 46228.79664 47665.3966 9174.311927 16833.59987 23165.5044 28337.00844 32496.56931 35776.03961 145783.0336 D 3.249792225 letech 1 2 3 4 5 70 70 70 70 1070 64.22018349 58.91759953 54.0528436 49.58976477 695.4265833 63.92694064 58.38076771 53.3157696 48.69020054 679.6936019 64.81481481 60.01371742 55.56825687 51.4520897 728.2240208 65.42056075 61.14071098 57.14085138 53.40266484 762.895212 922.2069747 904.0072803 960.0728996 1000 64.22018349 117.8351991 162.1585308 198.3590591 3477.132917 4019.705889 P2 972.6027397 986.1111111 995.3271028 D1 4.358789295 let D2 1 rok 977.0642202 "D_liabilities=3,249792" a to = w_1*D_b1+w_2*D_b2 2.249792225 W_2=1-w_1 3.358789295 w1 0.669822376 w2 30047.68647 32.5823674 29454.69734 46230.09089 32582.3674 0.330177624 14811.49943 15.15918721 14743.86701 15088.34989 44198.56436 47670.71729