为什么没有convexity呢

问题如下：

John Snows portfolio has a fixed-income position with market value of USD 70 million with modified duration of 6.44 years and yielding 6.7% compounded semiannually. If there is a positive parallel shift in the yield curve of 25 basis points, which of the following answers best estimates the resulting change in the value of John’s portfolio?

选项：

A.

USD -11,725

B.

USD -1,127,000

C.

USD -1,134,692

D.

USD -1,164,755

解释：

B is correct.

考点$：$Measures of Pricing Sensitivity Based on Parallel Yield Shifts

解析$：$By definition, Dmod = (-l/P) (dP/dy). So as a linear approximation, $\triangle P=-D_{mod}\times P\times\triangle y=-6.44\times70million\times0.0025=-1127000$