Question: A 4-year note with annual coupon payments has a face value of $1,000, duration of 3.762, and yield to maturity of 5.71%. The average monthly
A 4-year note with annual coupon payments has a face value of $1,000, duration of 3.762, and yield to maturity of 5.71%. The average monthly change in the yield is 0 basis points and the standard deviation of such changes is 23.2 basis points. The value at risk (VAR) at the 99% confidence level is estimated to be $15.79. The appropriate critical value is 2.33. What is the note's price, to the nearest $0.01? Have seen wrong answers to this pls try and solve it correctly!
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