NO.PZ2016031001000060
问题如下：
Suppose a bond’s price is expected to increase by 5% if its market discount rate decreases by 100 basis points. If the bond’s market discount rate increases by 100 basis points, the bond price is most likely to change by:
选项：
A. 5%.
B. less than 5%.
C. more than 5%.
解释：
B is correct.
The bond price is most likely to change by less than 5%. The relationship between bond prices and market discount rate is not linear. The percentage price change is greater in absolute value when the market discount rate goes down than when it goes up by the same amount (the convexity effect). If a 100 basis point decrease in the market discount rate will cause the price of the bond to increase by 5%, then a 100 basis point increase in the market discount rate will cause the price of the bond to decline by an amount less than 5%.
凸性应该是涨多跌少，这题利率涨5%,价格不应该涨的高于100bp吗
