Matori

Original Question:
Suppose that the annualized standard deviation for the change in the 2-year Treasure yield based on daily yields is 7% and the current level of the 2-year Treasury yield is 5%. Assuming that the probability distribution for the percentage change in 2-year Treasury yields is approximately normally distributed, how would you interpret the 7% annualized standard deviation?
Note:
The mean of change in yield is 0.
So, 68.3% of change is -7% to 7%.
Now we know what the change is, apply that to the yield which is 5%.