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%
B.
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%
为什么这里的convexity要用51而不是0.51
