题目
The “second-order” effect on a bond’s percentage price change given a change in yield-to-maturity can be best described as:
选项
A.duration.
B.convexity.
C.yield volatility.
答案
B
解析
： B is correct. Convexity measures the “second order” effect on a bond’s percentage price change given a change in yield-to-maturity. Convexity adjusts the percentage price change estimate provided by modified duration to better approximate the true relationship between a bond’s price and its yield-to-maturity which is a curved line (convex). Duration estimates the change in the bond’s price along the straight line that is tangent to this curved line (“first order” effect). Yield volatility measures the magnitude of changes in the yields along the yield curve. ： 这道题目问的是鉴于到期收益率的变化，对债券价格百分比变化的“二阶”影响可以最好地描述为： B是正确的。凸性衡量的是在到期收益率变化的情况下，债券价格变化百分比的“二阶”效应。凸性调整由修正久期提供的价格变化百分比估计，以更好地近似债券价格与其到期收益率之间的真实关系，到期收益率是一条曲线（凸）。