题目
A 15-year zero-coupon bond has a price of $63.98 when the yield is 3.00%. At this 3.00% yield, the bond's dollar duration is -952.0; if the yield increases by 10 basis points to 3.10% the bond's dollar duration drops to -938.0. Recall that the dollar duration is the first derivative of the price-rate function, dP/dy (modified duration is -1/P multiplied by this dollar duration). Which is nearest to the bond's convexity at 3.00%?
选项
A.28
B.124
C.219
D.435
答案
C
解析
「huixue_img/importSubject/1564170385090547712.png」