1、A portfolio consists of two zero-coupon bonds, each with a current value of $10. The first bond has a modified duration of one year and the second has a modified duration of nine years. The yield curve is flat, and all yields are 5%. Assume all moves of the yield curve are parallel shifts. Given that the daily volatility of the yield is 1%, which of the following is the best estimate of the portfolio's daily value at risk (VAR) at the 95% confidence level?
a. USD 1.65
b. USD 2.33
c. USD 1.16
d. USD 0.82


这道题到底有没有答案？
参考资料上说是a   （10*1+10*9）*1%*1.65=1.65
我觉得应该是 （10*1+10*9）*5%*1%*1.65=0.082
到底是哪个啊，请高手解答。

2、BankEurope has a $20000000 position in the 6.375% AUG 2027 US Treasury Bond The details on the bond is given below:
Market price:98 8/32
Accrued 1.43%
Yield       6.509%
Modified Duration 12.719
Yield Volatility 12%
What is the daily VaR of this position at the 95% Confidence level?
A.291400
B.203080
C.206036
D.206698
这里给出的答案是C
=12.719*20million*（0.9825+0.0143）*6.509%*12%/sqrt(250)

那么 daily volatility of the yield指的是收益里的绝对波动，还是相对波动（即百分比）？
按第一道题的意思volatility of the yield指的是绝对移动
按第二道题的意思volatility of the yield指的是移动的百分比