问题
单项选择题
An international bond investor has gathered the following information on a 10 - year, annualpay U. S. corporate bond: Currently trading at par value Annual coupon of 10% Estimated price if rates increase 50 basis points is 96.99% Estimated price is rates decrease 50 basis points is 103.14% The bond’s duration is closest to:（）
A. 6.58.
B. 0.62.
C. 6.15.
答案
参考答案：C
解析：
Duration = (V--V+)/[2V0 (change in required yield)].
Thus, duration = (103.14-96.99)/(2×100×0.005)=6.15. Remember that the change in interest rates must be in decimal form.