有点疑问

问题如下：

A bond has a par of $100 and a coupon rate of 10% paid semiannually. The bond has a YTM of 10% and a maturity of 10 years. If the yeild change by 10 basis point, the effective duration and convexity of the bond are closest to:

选项：

A. B. C. D.

解释：

C is correct

考点：Bond Duration and Convexity

解析：

利率上涨0.1%，债券价格等于：

N=20; PMT=5; FV=100; I/Y=10.1/2=5.05; CPT PV= 99.3795

利率下跌0.1%，债券价格等于：

N=20; PMT=5; FV=100; I/Y=9.9/2=4.95; CPT PV= 100.6258

Δy=0.1% V0=100 V-=100.6258 V+=99.3795

=(100.6258 - 99.3795)/(2×100×0.1%)

=6.231

=(100.6258 + 99.3795 - 2×100)/(0.1%² ×100)

=53