My answer was wrong. A Moving to the next question prevenits changes to this ans

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My answer was wrong.

A Moving to the next question prevenits changes to this answer Question 16 of 25 Question 16 4 points Saved Compton Bank has a five year, zero-coupon bond with a current price of $1 million The bond is trading at a yield to maturity of 8 00 percent The historical mean change in daily vieds is 00 percent and the standard deviation o) is 20 basis points. Note that the potential adverse movenyield at 5 percent is calculated as 1.6 Walunis h en rt W answer closest to yout hat is the price volatility of this bond in percent? (Calculate to 6 decimal places and pick the 1111 10:925290 percent 0:831046 percent 527768 percent Moving to the next question prevents changes to this answer. Question 16 ot 25

Explanation / Answer

Option C

= 20 basis points

As it is a zero-coupon bond, modified duration =D/(1+r)=5/1.08=4.62963

Potential adverse move in yields = 1.65 x =33 basis points

Price volatility=duration*adverse moves in yields=4.62963*0.33%=1.527778%

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