Brothers Bank has a $2 million position in a seven-year, zero-coupon bond with a face value of $2,500,400. The bond is trading at a yield to maturity of 6 per cent. The historical mean change in daily yields is 0.0 per cent, and the standard deviation is 14 basis points.

Calculate the following (round to four decimal places):

A. Modified Duration.

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B. What is the maximum adverse daily yield move given that we desire no more than a 1 per cent chance that yield changes will be greater than this maximum?

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C. Price volatility.

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D. DEAR.

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E. VaR for a 15-day period.