升多降少

问题如下：

Two par bonds have the same duration but different convexity. All else being equal, if yields to maturity increase by 10 basis points, it is most likely that:

选项：

A.the more convex bond underperforms the less convex bond.

B.both bond prices decrease by the same amount.

C.the more convex bond outperforms the less convex bond.

解释：

C is correct.

The two bonds are assumed to have the same price, yield-to-maturity, and modified duration. The benefit of greater convexity occurs when their yields-to-maturity change. And for the same increase in yield-to-maturity, the more convex bond depreciates less in price than the less convex bond.

考点：Bond Convexity and Convexity Adjustment

解析：凸度对于投资者来说是有利的，在其他条件相同时，债券凸度越大，对投资者越有利。当利率都上升10 bps时，凸度大的债券价格降幅更小，比凸度小的债券表现更好，故选项C正确。