5.2 If an investor has positions in a 20-year bond. The bond has a coupon rate of 3% with
semi-annual coupon payments, and its face value is $100 milllion. The YTM of the bond is 4%.
Therefore, the current bond price is 86.32 per 100 face value. Thhe duration of the bond is 16.
Assume a normal distribution, and the daily yield volatility is 0.8%. Calculate the VaR for the bond
under a 99% confidence interval for one month (assuming 21 traading days in a month
听押题的讲解 何老师说这个如果勘误了就用×YTM的做法，答案也是给的需要×YTM，是已经勘误了吗