题目
For an option-free bond, which of the following are the effects of the convexity adjustment on the magnitude (absolute value) of the approximate bond price change in response to an increase in yield and in response to a decrease in yield, respectively? Decrease in Yield; Increase in Yield
选项
A.Increase in magnitude; Decrease in magnitude
B.Increase in magnitude; Increase in magnitude
C.Decrease in magnitude; Decrease in magnitude
D.Decrease in magnitude; Increase in magnitude
答案
A
解析
Option-free bonds have positive convexity and the effect of (positive) convexity is to increase the magnitude of the price increase when yield fall and to decrease the magnitude of the price decrease when yields rise.不含权债券具有正凸性，(正)凸性的作用是增加收益率下降时价格的上升幅度，减少收益率上升时价格的下降幅度。