City bank has seven-year zero coupon bonds with a total face value of $20 million. The current market yield on the bonds is 8 percent, what is the price volatility if the maximum potential adverse move in yields is estimated at 30 basis points? What is the daily earnings at risk (DEAR) of this bond portfolio? (Hint round your answers to four digits and then use them). Select one: O a. 1.93 percent; $210,783.24 O b. 1.91 percent; $195,931.98 O . 1.96 percent; $244,445.47 d. 1.39 percent; $189,205.74 O e. 1.94 percent; $226,913.58

City bank has seven-year zero coupon bonds with a total face value of $20 million. The current market yield on the bonds is 8 percent, what is the price volatility if the maximum potential adverse move in yields is estimated at 30 basis points? What is the daily earnings at risk (DEAR) of this bond portfolio? (Hint round your answers to four digits and then use them). Select one: O a. 1.93 percent; $210,783.24 O b. 1.91 percent; $195,931.98 O . 1.96 percent; $244,445.47 d. 1.39 percent; $189,205.74 O e. 1.94 percent; $226,913.58

Essentials Of Investments

11th Edition

ISBN:9781260013924

Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Chapter1: Investments: Background And Issues

Section: Chapter Questions

Problem 1PS

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