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You buy a bond that has no default risk with a duration of 12 years. The yield on the bond is 10%. The volatility of

You buy a bond that has no default risk with a duration of 12 years. The yield on the bond is 10%. The volatility of yields is 0.2% during a short period that you are thinking of investing in the bond. During this period, no coupon payments will be paid. What is the volatility of your return over this period?

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