NO.PZ2018062006000127
问题如下：
The annual modified duration of Bond A is 6.932 and the annual convexity of it is 59.270. Assuming that Bond A's yield-to-maturity decreases by 30 basis points, the expected percentage price change should be:
选项：
A.
1.52%.
B.
2.88%.
C.
2.11%.
解释：
C is correct.
考点：duration & convexity
解析：这道题考点在于利率变动对于债券价格的变动，同时需要考虑duration和convexity的影响。题目中利率下降30bps，所以△y= -0.3%
%ΔPVFull ≈ [–AnnModDur × ΔYield] + [0.5 × AnnConvexity × (ΔYield)2 ]
= -6.932 × (-0.3%) + 0.5 × 59.270 × (-0.3%)2
=2.0796% + 0.0267%
=2.1063%
≈2.11%
故选项C正确。
算出来是2.6672呢。。。就照着答案算得
