NO.PZ2016031002000051
问题如下：
Assuming that the yield falls by 90 basis points, what's the percentage of the price change of a bond with a modified duration of 9.6?
选项：
A.10.67%.
B.-8.64%.
C.8.64%.
解释：
C is correct.
考点：duration
解析：本题中利率下降了90bps，即下降了0.9%，所以△y为 -0.9%，duration为9.6，代入公式即可：△P/P= - duration × △y= - 9.6 × (-0.9%)=8.64%，故选项C正确。
如题
