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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.

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. a. What is the modified duration of these bonds? b. What is the price volatility if the maximum potential adverse move in yields is estimated at 0.2%? c. What is the daily VAR of this bond portfolio

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