问题
单项选择题
Which of the following statements best describes the concept of negative convexity in bond prices As interest rates:（）
A. fall, the bond’s price increases at an increasing rate.
B. rise, the bond’s price approaches a minimum value.
C. fall, the bond’s price increases at a decreasing rate.
答案
参考答案：C
解析：
Negative convexity occurs with bonds that have prepayment/call features. As interest rates fall, the borrower/issuer is more likely to repay/call the bond, which causes the bond’s price to approach a maximum. As such, the bond’s price increases at a decreasing rate as interest rates decrease.
