If next year's bond prices for 3-year zero coupon bonds may be either 0.8923 or 0.8644,what is the yield volatility?

Name: If next year's bond prices for 3-year zero coupon bonds may be either 0.8923 or 0.8644,what is the yield volatility?
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Question

Quizplus · Accepted Answer

Yield volatility is calculated using the formula: Yield Volatility = (ln(H/L)) / sqrt(T), where H is the higher price, L is the lower price, and T is the time period. Using the given prices, the yield volatility is approximately 12.7%.

If Next Year's Bond Prices for 3-Year Zero Coupon Bonds