What conditions must hold for immunization to work?

Classical immunization requires: (1) portfolio duration equals liability duration, (2) portfolio present value equals liability present value, (3) portfolio convexity exceeds liability convexity (for improved protection). Re-immunization is needed as time passes and yields change.

What is contingent immunization?

Contingent immunization allows active management when surplus (excess assets over minimum required) exists. If portfolio value falls to the immunization floor, the strategy switches to full immunization mode. It combines return-seeking flexibility with downside protection.

Bond Immunization Duration Matching

Design a bond portfolio immunization strategy by matching the duration of assets to the duration of liabilities, ensuring the portfolio value covers obligations regardless of parallel yield curve shifts.

Principal ($)

Annual Rate (%)

Years

Compounding / Year

$ Finance Disclaimer: These calculators are for educational and illustrative purposes only. Results do not constitute financial advice. Consult a licensed financial advisor before making investment or borrowing decisions.

How to Use

Enter the values for the scenario you are assessing. Design a bond portfolio immunization strategy by matching the duration of assets to the duration of liabilities, ensuring the portfolio value covers obligations regardless of parallel yield curve shifts. Use the bond immunization result to inform your calculation.

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