You own a fored income portfolio with a single 10 period zero coupon bond with face value of $100 and a current yield of 6% per period. During the past 100 trading days, there were 50 days when the yield on this bond did not change. 15 days when the yield increased by 1 basis point, 15 days when the yield decreased by 1 basis point, 9 days when the yield increased by 5 basis points, 9 days when the yield decreased by 5 basis points, 1 day when the yield increase by 10 basis points, 1 day when the yield decreased by 10 basis points. During this 100 day estimation period, the estimated standard deviation of daily interest rate changes equals 2.46 basis points. The 1-day 99% VaR using historical simulation method is 0.52 . The modified duration of this zero coupon bond is 0.26 The 1-day VaR using Delta-sormal approach is 32 (Only keep two decimal places for this question.) You own a fored income portfolio with a single 10 period zero coupon bond with face value of $100 and a current yield of 6% per period. During the past 100 trading days, there were 50 days when the yield on this bond did not change. 15 days when the yield increased by 1 basis point, 15 days when the yield decreased by 1 basis point, 9 days when the yield increased by 5 basis points, 9 days when the yield decreased by 5 basis points, 1 day when the yield increase by 10 basis points, 1 day when the yield decreased by 10 basis points. During this 100 day estimation period, the estimated standard deviation of daily interest rate changes equals 2.46 basis points. The 1-day 99% VaR using historical simulation method is 0.52 . The modified duration of this zero coupon bond is 0.26 The 1-day VaR using Delta-sormal approach is 32 (Only keep two decimal places for this question.)