NO.PZ2023090801000011
问题如下：
For a bond with a modified duration of 4 and a convexity of 0.25, which of the following changes in credit spread would result in a price decrease closest to 7.5%?
选项：
A.1% decrease
1% increase
2% increase
解释：
%∆PVFull = −(AnnModDur × ∆Spread) + 0.5×AnnConvexity × (∆Spread)^2
− (4 × 0.02) + 0.5 × 25 × (0.02)^2 = –0.075 or –7.5%
The spread change is inversely related to the price effect, with a spread increase leading to a fall in bond price. Note that since duration was 4, we had to rescale the convexity from 0.25 to 25.
Note that since duration was 4, we had to rescale the convexity from 0.25 to 25. 为什么要rescale？为什么乘100？
