问题如下:
A bond is priced at 88.692 per 100 of par value. The bond's full price will fall to 88.642 if the yield-to-maturity rises by 10 basis points. Moreover, the bond's full price will increase to 88.762 if the yield-to-maturity decreases by 10 basis points. The approximate convexity of the bond is:
选项:
A. 105.24.
B. 225.50.
C. 687.41.
解释:
B is correct.
Approximate convexity
=[88.762+88.642-(2*88.692)]/[(0.001)^2*88.692]
=225.499
老师我想问一下10base points怎么折算