题目
A bond has an annual modified duration of 7.020 and annual convexity of 65.180. If the bond’s yield-to-maturity decreases by 25 basis points, the expected percentage price change is closest to:
选项
A.1.73%.
B.1.76%.
C.1.78%.
答案
C
解析
C is correct. The expected percentage price change is closest to 1.78%. The convexity-adjusted percentage price change for a bond given a change in the yield-to-maturity is estimated by:「huixue_img/importSubject/1564548168597770240.png」 这道题目问的是债券的修正久期为7.020，凸性为65.180。如果债券的到期收益率下降25个基点，预期的价格变化百分比最接近： C是正确的。预期价格变动百分比接近1.78%。考虑到期收益率的变化，债券的凸性调整百分比价格变化如下：