NO.PZ2023091701000071
问题如下：
MTGE4. MTGE7. MTGE10 are mortgage-backed securities (MBS) that pay 4%, 7% and 10% coupons, respectively Prevailing mortgage rates are 10%. Assume these securities have the same maturity and coupon frequency, which of the following is correct?
选项：
A.In most cases, convexity is sufficient to approximate MBS price changes resulting from yield changes for the purpose of estimating VaR. B.In most cases, duration is sufficient to approximate MBS price changes resulting from yield changes for the purpose of estimating VaR. C.The Optionality embedded in a MBS makes the implementation of the duration-convexity method less appropriate for the purpose of estimating VaR. D.As rates fall, MTGE10 price change approximations using the duration-convexity method are likely to be better than MTGE4 price change approximations.解释：
请问选项D错在哪里，另外能否解释一下正确选项C？
