The blue box problem on Schweser pg 34 says the asset duration is higher than the liability duration which is why it increased in value more when rates dropped. Looking at the problem though, the liab value increased over $1M to $20.6M while the assets only increased ~$900k to $20.9M. So how did the assets increase more?
also, what exactly is the immunization rate? Is that the rate you earn???
please Help. Thanks. In advance.