Contingent Immunization

CFA Level III Fixed Income
#1

Can someone tell me how CFAI got the $541.36 million number on page 37 of book 4 (Fixed Income and equity Portfolio management)

I’m guessing that it’s FV=500, I/Y=1.875, N=20, PMT=7.5, but it gives me a PV of $468.97 and not $541.36

Thanks in advance!

#2

FV=500, I/Y = 3.75/2 = 1.875

PMT=500*.4375/2 = 11.875

N= 20

CPT PV = 541.376

#3

thanks, you mean PMT=500*0.0475/2 though right?

#4

yeah… typo