In Liability Driven Investing chapter… Immunizing a single liability… One of the conditions for immunizing is Da=Dl…. Here they are talking about matching Macaulay Duration… But are they loosely also talking about Modified Duration ??.. Since then only if CFY on asset and yield on liability change equally, would the Present value of asset change by equal amount as Present Value of Liability.
Share
yes loosely it implies matching modified duration.