Happy Lucky Bank has a $1 million position in a five-year, zero-coupon bond with a face value of $1,402,552. The bond is trading at a yield to maturity of 6.00 percent. The historical mean change in daily yields is 0.0 percent, and the standard deviation is 12 basis points. For an adverse daily yield of 1 percent - calculate the price volatility of this bond?

• A. 1.3278%

• B. 1.2935%

• C. 1.3065 %

• D.

  1.3189%