3. Consider the following single bond position of $10 million, a modified duration of 3.6 years, an annualized yield volatility of 2%. Using the duration method and assuming that the daily return on the bond position is independently identically normally distributed, calculate the 10-day holding period VAR of the position with a 99% confidence interval, assuming there are 252 business days in a year. ' 3.5409339 ' b. $396,742 - c. $345,297 ' d.$334,186