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Question
City bank has six-year zero coupon bonds with a total face value of $20 million. The current market yield on the bonds is 10 percent.
What is the price volatility if the maximum potential adverse move in yields is estimated at 20 basis points?
A. -1.32 percent.
B. -2.00 percent.
C. -2.18 percent.
D. -1.09 percent.
E. -1.20 percent.
Answer
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