Please explain everything on how to calculate this including steps to type into the financial calculator.

Bond Return 6: You bought a $10,000-face 1%-coupon bond that had four years of remaining maturity one year ago. Rates were 5%. You sold the bond today and lost 6% on your entire bond investment. You thought interest rates would be either 4% with 50% probability or 6% today. What was your standard deviation of your expected return? (Round to nearest whole percent)