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 10-day VAR assuming the daily returns are independently distributed?
A) -$714,009.31
B) -$778,270.16
C) -$389,135.09
D) -$428,405.58
E) -$471,246.16
Correct Answer:
Verified
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