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A bond has a Modified duration of 6 . 3 years and a convexity of 1 0 3 . 1 . Interest rates are currently

A bond has a Modified duration of 6.3 years and a convexity of 103.1. Interest rates are currently constant at 9.3%. There is a 35% chance of interest rates increasing to 13.1%, a 54% chance of interest rates staying constant, and a 11% chance of interest rates decreasing to 7.9%. Under this scenario, which answer below is the closest to the standard deviation of bond returns?

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