NO.PZ2023120801000104
问题如下：
An investment-grade bond with modified duration of 7
and reported convexity of 0.51 increases in price by 9.93% after a yield spread
change. The value of the spread change would be closest to:
选项：
A.−1.5%
0.15%
C.1.5%
解释：
Correct Answer: A
%∆PVFull
= −(AnnModDur × ∆Spread) + 0.5 × AnnConvexity × (∆Spread)2
0.0993 = −(7 x
∆Spread) + 0.5 × (51) × (∆Spread)2
∆Spread = −0.0135≈−1.5%
代入-0.015進去，-7×(-0.015）+（0.5×51×（-0.015²））=0.110739
代入 0.015算出來才是正確答案，是公式負號記錯了嗎？
