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  3. you own a fixed income portfolio with a single 10-

You own a fixed income portfolio with a single 10-period zero coupon bond with face...

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Accounting

You own a fixed 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 ______________ . The modified duration of this zero coupon bond is ___________ . The 1-day VaR using Delta-Normal approach is _____________ . (Only keep two decimal places for this question.)

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