- CFA Exams
- CFA Level I Exam
- Topic 6. Fixed Income
- Learning Module 28. The Term Structure and Interest Rate Dynamics
- Subject 5. Yield Curve Factor Models
CFA Practice Question
The daily standard deviation for a 1-year T-bill is 0.328%. Assume there are 250 trading days per year. The annualized standard deviation (interest rate volatility) should be:
A. 2.07%
B. 5.186%
C. 82%
Explanation: 0.00328% x 2501/2 = 5.186%.
User Contributed Comments 4
| User | Comment |
|---|---|
| pmdallman | Why is the 250 compounded to the .5 power? |
| birdperson | check the formula @pmdallman! |
| gakash | Can you please tell which formula? |
| LoCo83 | Click on "Check LOS" on the right side menu. It converts monthly standard deviation to annual, but a similar logic applies to daily/weekly. |