问题
单项选择题
An investor gathered the following information about an option-free U. S. corporate bond: Par Value of $10 million Convexity of 45 Duration of 7 If interest rates increase 2 percent (200 basis points), the bond’s percentage price change is closest to:()
A. -14.0%
B. -15.8%
C. -12.2%
答案
参考答案：C
解析：
Recall that the percentage change in prices=Duration effect+Convexity effect=[-duration× (change in yields)]+[convexity×(change in yields)2]=(-7)×0.02+45×0.022=-0.122=-12.2%. Remember that you must use the decimal representation of the change in interest rates when computing the duration and convexity adjustments.