题目
A bond has an annual modified duration of 7.140 and annual convexity of 66.200. The bond’s yield-to-maturity is expected to increase by 50 basis points. The expected percentage price change is closest to:
选项
A.–3.40%.
B.–3.49%.
C.–3.57%.
答案
B
解析
B is correct. The expected percentage price change is closest to ?3.49%. The convexity-adjusted percentage price change for a bond given a change in the yield-to-maturity is estimated by:「huixue_img/importSubject/1564548168178339840.png」这道题目问的是债券的修正久期为7.140，年凸性为66.200。该债券的到期收益率预计将增加50个基点。预期价格变动百分比最接近： B是正确的。预期价格变动百分比接近-3.49%。考虑到期收益率的变化，债券的凸性调整百分比价格变化估计如下：