I thought yield volatility was measured by the standard deviation, of the natural log of the yield difference? Suppose that the sample mean of 25 daily yield changes is 0.08 percent, and the sum of the squared deviations from the mean is 9.6464. Which of the following is the closest to the daily yield volatility? A) 0.3859%. B) 0.4019%. C) 0.6212%. D) 0.6340%. Click for Answer and Explanation Daily yield volatility is the standard deviation of the daily yield changes. The variance is obtained by dividing the sum of the squared deviations by the number of observations minus one. Therefore, we have: Variance = 9.6464/(25 – 1) = 0.4019 Standard deviation = yield volatility = (0.4019)½ = 0.6340%

there was a very similar example in the CFA book assuming yield changes are based on natural log.