问一道题：NO.PZ2016031001000127

问题如下：

A bond has an annual modified duration of 7.020 and annual convexity of 65.180. If the bond’s yield-to-maturity decreases by 25 basis points, the expected percentage price change is closest to:

选项：

1.73%.

1.76%.

1.78%.

解释：

C is correct.

The expected percentage price change is closest to 1.78%. The convexity adjusted percentage price change for a bond given a change in the yield-to-maturity is estimated by:

$\%\Delta PV\;Full\approx\lbrack-AnnModDur\times\Delta Yield\rbrack+\lbrack0.5\times AnnConverxity\times(\Delta Yield)^2\rbrack$

$\%\Delta PV\;Full\approx\lbrack-7.020\times(-0.0025)\rbrack+\lbrack0.5\times65.180\times(-0.0025)^2\rbrack=0017754\;or\;1.78\%$